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Partial equilibria with convex capital requirements: existence, uniqueness and stability

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  • Michail Anthropelos

    ()

  • Gordan Žitković

    ()

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File URL: http://hdl.handle.net/10.1007/s10436-009-0134-x
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 6 (2010)
Issue (Month): 1 (January)
Pages: 107-135

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Handle: RePEc:kap:annfin:v:6:y:2010:i:1:p:107-135

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Acceptance sets; Convex capital requirements; Incomplete markets; Mutually agreeable claims; Partial equilibrium allocation; Partial equilibrium price; Stability of equilibria; Primary 91B70; Secondary 91B30; 60G35; G11; G12; C62;

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References

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  1. Damir Filipović & Michael Kupper, 2008. "Equilibrium Prices For Monetary Utility Functions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 325-343.
  2. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
  3. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
  4. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272.
  5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  6. Napp, Clotilde & Jouini, Elyès, 2004. "Convergence of utility functions and convergence of optimal strategies," Economics Papers from University Paris Dauphine 123456789/355, Paris Dauphine University.
  7. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
  8. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005.
  9. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  10. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
  11. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
  12. Clotilde Napp & Elyès Jouini, 2004. "Convergence of utility functions and convergence of optimal strategies," Post-Print halshs-00151579, HAL.
  13. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
  14. Burgert, Christian & Rüschendorf, Ludger, 2008. "Allocation of risks and equilibrium in markets with finitely many traders," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 177-188, February.
  15. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
  16. Michail Anthropelos & Gordan Zitkovic, 2008. "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets," Papers 0803.2198, arXiv.org.
  17. Touzi, Nizar & Schachermayer, Walter & Jouini, Elyès, 2006. "Law Invariant Risk Measures Have the Fatou Property," Economics Papers from University Paris Dauphine 123456789/342, Paris Dauphine University.
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Citations

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Cited by:
  1. Michail Anthropelos, 2012. "Agents' Strategic Behavior in Optimal Risk Sharing," Papers 1206.0384, arXiv.org, revised Mar 2013.

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