Multi-agent Robust Optimal Investment Problem in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
Additional contact information
Keisuke Kizaki: Graduate School of Economics, The University of Tokyo
Taiga Saito: Faculty of Economics, The University of Tokyo
Akihiko Takahashi: Faculty of Economics, The University of Tokyo

No CIRJE-F-1198, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper considers a multi-agent optimal investment problem with conserva- tive sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and supremum on trading strategies. To the best of our knowledge, this is the first attempt to inves- tigate a multi-agent equilibrium model in an incomplete setting with heterogeneous views on Brownian motions. Moreover, we show a square-root case and a general case where the trading strategies and the excess return process of the risky asset in equilibrium are explicitly solved. Finally, we present numerical examples of the trading strategies and the expected return process in equilibrium under conservative sentiments, which explain how the sentiments affect the trading strategies of the agents and the expected return process of the risky asset.

Pages: 31 pages
Date: 2022-09
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2022/2022cf1198.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2022cf1198

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().