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Register a new userIncomplete stochastic equilibria for dynamic monetary utility
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Added by
Constantinos Kardaras
Publication date
2015
fields
Financial
and research's language is
English
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We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of smallness type is shown to be sufficient for existence and uniqueness. In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
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