Risk Trading and Endogenous Probabilities in Investment Equilibria

DOI10.1137/110851778zbMath1372.91130OpenAlexW3123547841MaRDI QIDQ3461988

Yves Smeers, Daniel Ralph

Publication date: 4 January 2016

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/291829d1ceddd1b1457d4c8d9112d663fca90328

zbMATH Keywords

risk measurerisk aversecomplete financial marketrisk tradingrisky design equilibrium problemrisky design gamestochastic-endogenous equilibrium problem

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stochastic games, stochastic differential games (91A15) Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

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