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arXiv · 1505.07224

Incomplete stochastic equilibria for dynamic monetary utility

Constantinos Kardaras·Hao Xing·Gordan Žitković
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Abstract

We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of "smallness" type is shown to be sufficient for existence and uniqueness. In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.

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Constantinos Kardaras, Hao Xing, Gordan Žitković. 2015-05-27. Incomplete stochastic equilibria for dynamic monetary utility. https://arxiv.org/abs/1505.07224

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