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


  • Michail Anthropelos


  • Gordan Žitković



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Suggested Citation

  • 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

    1. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
    2. 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.
    3. 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.
    4. Bühlmann, Hans & Jewell, William S., 1979. "Optimal Risk Exchanges," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(03), pages 243-262, December.
    5. Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474,
    6. Elyès Jouini & Clotilde Napp, 2004. "Convergence of utility functions and convergence of optimal strategies," Finance and Stochastics, Springer, vol. 8(1), pages 133-144, January.
    7. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
    8. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482,, revised Mar 2010.
    9. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293,
    10. Michail Anthropelos & Gordan Zitkovic, 2008. "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets," Papers 0803.2198,
    11. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    12. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    13. Wyler, Erich, 1990. "Pareto Optimal Risk Exchanges and a System of Differential Equations: a Duality Theorem," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 20(01), pages 23-31, April.
    14. repec:dau:papers:123456789/342 is not listed on IDEAS
    15. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489,
    16. repec:dau:papers:123456789/355 is not listed on IDEAS
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    Cited by:

    1. Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384,, revised May 2016.

    More about this item


    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;

    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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