An example of a stochastic equilibrium with incomplete markets
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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, 2017. "Equilibrium Liquidity Premia," Papers 1707.08464, arXiv.org, revised Sep 2017.
- Bayraktar, Erhan & Kravitz, Ross, 2013.
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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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