{"title":"Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality","authors":"C. Kardaras, Hao Xing, Gordan Zitkovic","doi":"10.2139/ssrn.2611557","DOIUrl":null,"url":null,"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.","PeriodicalId":123371,"journal":{"name":"ERN: Incomplete Markets (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"44","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Incomplete Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2611557","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 44
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.
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