An example of a stochastic equilibrium with incomplete markets
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References listed on IDEAS
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- Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.
- Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2017. "Equilibrium Returns with Transaction Costs," Papers 1707.08464, arXiv.org, revised Apr 2018.
More about this item
KeywordsEquilibrium; Exponential utility; Incomplete markets; Mathematical finance; 91G80; 35K59; C62; G11;
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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