Multi-agent investment in incomplete markets

Jianming Xia ()

Finance and Stochastics, 2004, vol. 8, issue 2, 259 pages

Abstract: The problem of the expected utility maximization in incomplete markets for a single agent is well understood in a fairly general setting. This paper studies the problem for the multi-agent case. For this case a cooperative investment game is posed as follows: firstly collect all agents’ capital together at the initial time, then invest the total capital in a trading strategy, and finally divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non cooperation, and prove that the core of the cooperative investment game is non-empty under mild conditions using Scarf theorem. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Cooperative investment; Pareto optimum; core; incomplete markets (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s00780-003-0115-2

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