An example of a stochastic equilibrium with incomplete markets
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- repec:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0316-x is not listed on IDEAS
- repec:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x is not listed on IDEAS
- Bayraktar, Erhan & Kravitz, Ross, 2013.
"Stability of exponential utility maximization with respect to market perturbations,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(5), pages 1671-1690.
- Erhan Bayraktar & Ross Kravitz, 2011. "Stability of exponential utility maximization with respect to market perturbations," Papers 1107.2716, arXiv.org, revised Dec 2012.
- Jin Choi & Kasper Larsen, 2015. "Taylor approximation of incomplete Radner equilibrium models," Finance and Stochastics, Springer, vol. 19(3), pages 653-679, July.
- 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.
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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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