Publikation:

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

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2016

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Cheridito, Patrick
Horst, Ulrich
Pirvu, Traian A.

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https://doi.org/10.1287/moor.2015.0721
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Mathematics of Operations Research. 2016, 41(1), pp. 174-195. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.2015.0721

Zusammenfassung

We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments, and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and uniqueness. In the special case where all agents have preferences of the same type and in equilibrium, all random endowments are replicable by trading in the financial market, we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel.

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510 Mathematik

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ISO 690CHERIDITO, Patrick, Ulrich HORST, Michael KUPPER, Traian A. PIRVU, 2016. Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. In: Mathematics of Operations Research. 2016, 41(1), pp. 174-195. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.2015.0721
BibTex
@article{Cheridito2016-02Equil-33595,
  year={2016},
  doi={10.1287/moor.2015.0721},
  title={Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences},
  number={1},
  volume={41},
  issn={0364-765X},
  journal={Mathematics of Operations Research},
  pages={174--195},
  author={Cheridito, Patrick and Horst, Ulrich and Kupper, Michael and Pirvu, Traian A.}
}
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