A model for a large investor trading at market indifference prices. I: single-period case
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
|Date of creation:||Oct 2011|
|Date of revision:||Dec 2013|
|Publication status:||Published in (2015) Finance and Stochastics, Volume 19, Issue 2, Pages 449-472|
|Contact details of provider:|| Web page: http://arxiv.org/|
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