Partial equilibria with convex capital requirements: existence, uniqueness and stability
| العنوان: | Partial equilibria with convex capital requirements: existence, uniqueness and stability |
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| المؤلفون: | Michail Anthropelos, Gordan Žitković |
| المصدر: | Annals of Finance. 6:107-135 |
| بيانات النشر: | Springer Science and Business Media LLC, 2009. |
| سنة النشر: | 2009 |
| مصطلحات موضوعية: | 050208 finance, Mathematical finance, Partial equilibrium, 05 social sciences, Financial market, Stability (learning theory), 01 natural sciences, FOS: Economics and business, Microeconomics, 010104 statistics & probability, Semimartingale, Risk Management (q-fin.RM), Incomplete markets, 0502 economics and business, Capital requirement, Economics, Uniqueness, 0101 mathematics, General Economics, Econometrics and Finance, Mathematical economics, Finance, Quantitative Finance - Risk Management |
| الوصف: | In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex capital requirements, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to sufficient conditions for the existence and uniqueness, we also show that the equilibrium prices are stable with respect to misspecifications of agents' risk preferences. |
| تدمد: | 1614-2454 1614-2446 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e69dee16a79ec55f81c4163dc492da2cTest https://doi.org/10.1007/s10436-009-0134-xTest |
| حقوق: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....e69dee16a79ec55f81c4163dc492da2c |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 16142454 16142446 |
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