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arXiv · 1110.3224

A model for a large investor trading at market indifference prices. I: single-period case

Peter Bank·Dmitry Kramkov
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Abstract

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.

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Peter Bank, Dmitry Kramkov. 2013-12-10. A model for a large investor trading at market indifference prices. I: single-period case. https://doi.org/10.1007/s00780-015-0258-y

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