Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
Risk Management
2009-01-22 v1
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.
Keywords
Cite
@article{arxiv.0901.3318,
title = {Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability},
author = {Michail Anthropelos and Gordan Zitkovic},
journal= {arXiv preprint arXiv:0901.3318},
year = {2009}
}