Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

• 成果类型: Article
• 署名作者: Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
• 署名单位: Princeton University; Humboldt University of Berlin; University of Konstanz; McMaster University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0721
• 发表日期: 2016
• 页码: 174-195
• 关键词: Risk measures; general equilibrium; penalty-functions; EXISTENCE; arbitrage; Duality; utility; prices

摘要

We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments, and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and uniqueness. In the special case where all agents have preferences of the same type and in equilibrium, all random endowments are replicable by trading in the financial market, we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel.