Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability

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dc.creatorAnthropelos, Michail
dc.creatorZitkovic, Gordan
dc.date2009-01-21
dc.date.accessioned2026-07-07T12:32:36Z
dc.date.available2026-07-07T12:32:36Z
dc.descriptionIn an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex capital requirements, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to sufficient conditions for the existence and uniqueness, we also show that the equilibrium prices are stable with respect to misspecifications of agents' risk preferences.
dc.identifierhttps://arxiv.org/abs/0901.3318
dc.identifierhttp://arxiv.org/abs/0901.3318
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/216832
dc.subjectRisk Management
dc.titlePartial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
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