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Equilibrium Prices For Monetary Utility Functions

  • DAMIR FILIPOVIĆ

    ()

    (Vienna Institute of Finance (Supported by WWTF (Vienna Science and Technology Fund)), University of Vienna and Vienna University of Economics and Business Administration, Heiligenstädter Strasse 46–48, A-1190 Vienna, Austria)

  • MICHAEL KUPPER

    ()

    (Vienna Institute of Finance (Supported by WWTF (Vienna Science and Technology Fund)), University of Vienna and Vienna University of Economics and Business Administration, Heiligenstädter Strasse 46–48, A-1190 Vienna, Austria)

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    This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.

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    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 11 (2008)
    Issue (Month): 03 ()
    Pages: 325-343

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    Handle: RePEc:wsi:ijtafx:v:11:y:2008:i:03:p:325-343
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    1. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean-Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521.
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    8. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    9. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June.
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