Taylor approximation of incomplete Radner equilibrium models

DOI10.1007/S00780-015-0268-9zbMath1390.91337arXiv1310.2973OpenAlexW2156345381MaRDI QIDQ2516775

Yanyan Li

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.2973

zbMATH Keywords

interest rateHölder spacecontinuous-timemarket price of riskexponential utilities

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) General equilibrium theory (91B50)

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Cites Work

• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• An example of a stochastic equilibrium with incomplete markets
• Financial markets in continuous time. Translated from the French by Anna Kennedy
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A note on admissibility when the credit line is infinite
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