Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality

Constantinos Kardaras (), Hao Xing () and Gordan Žitković ()
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Constantinos Kardaras: Department of Statistics, London School of Economics and Political Science
Hao Xing: Department of Finance, Questrom School of Business, Boston University
Gordan Žitković: Department of Mathematics, University of Texas at Austin

A chapter in Stochastic Analysis, Filtering, and Stochastic Optimization, 2022, pp 267-292 from Springer

Abstract: Abstract We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of “smallness” type— imposed through the new notion of “closeness to Pareto optimality”—is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-98519-6_11

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DOI: 10.1007/978-3-030-98519-6_11

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