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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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  • Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
    • Handle: RePEc:kap:annfin:v:6:y:2010:i:1:p:107-135
    DOI: 10.1007/s10436-009-0134-x
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
    2. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    3. Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2016. "Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 174-195, February.
    4. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
    5. Oleksii Mostovyi, 2020. "Stability of the indirect utility process," Papers 2002.09445, arXiv.org.

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    More about this item

    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;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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