A model for a large investor trading at market indifference prices. I: single-period case

Peter Bank and Dmitry Kramkov
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Peter Bank: Technische Universit\"at Berlin
Dmitry Kramkov: Carnegie Mellon and Oxford

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Abstract: We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.

Date: 2011-10, Revised 2013-12
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Citations: View citations in EconPapers (3)

Published in (2015) Finance and Stochastics, Volume 19, Issue 2, Pages 449-472

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