Presented By: Department of Mathematics
Financial/Actuarial Mathematics Seminar
An example of continuous-time Radner equilibrium
We consider a production economy where dividend of the asset is not fully spanned. In a Markovian setting, we establish the existence of a continuous-time Radner equilibrium which is endogenously incomplete. When the unhedgable component in the asset dividend is small, we analyze the first order difference between complete and incomplete equilibrium.
This is a joint work with Daniel Schwarz. Speaker(s): Hao Xing (LSE)
This is a joint work with Daniel Schwarz. Speaker(s): Hao Xing (LSE)
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