2011-11-16Buch
Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences
Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading ...