A model for a large investor trading at market indifference prices. I: single-period case
AbstractWe develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1110.3224.
Date of creation: Oct 2011
Date of revision: Dec 2013
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- NEP-ALL-2011-11-01 (All new papers)
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