Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
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DOI：
10.1111/irfi.12119
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发表时间：
2015-07
期刊：
影响因子：
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通讯作者：
Daisuke Yoshikawa
中科院分区：
文献类型：
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作者：
Daisuke Yoshikawa
本文分别采用效用无差别定价和效用基础定价的方法，分析了随机禀赋的不完全市场的均衡。为了解决模型的不确定性，我们还考虑了采用最大/最小预期效用和风险管理政策的代理人。利用这个框架，我们证明了均衡的存在性。此外，我们澄清了使用这些方法得到的均衡的特征的差异。此外，我们表明，交易量的随机禀赋在均衡的无差别定价取决于风险厌恶的水平，初始资本，和代理人的风险限制。
In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference pricing and utility-based pricing. Addressing model uncertainty, we also consider agents who adopt max/min expected utility and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the differences in the features of equilibria derived using these methods. Further, we show that the traded amount of random endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents’ risk limits.