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arXiv · 0901.3318

Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability

Michail Anthropelos·Gordan Zitkovic
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Abstract

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.

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Michail Anthropelos, Gordan Zitkovic. 2009-01-21. Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability. https://arxiv.org/abs/0901.3318

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