The stochastic field of aggregate utilities and its saddle conjugate

DOI10.1134/S0081543814080033zbMath1320.91166arXiv1310.7280OpenAlexW1986774056MaRDI QIDQ492162

Dmitry Kramkov, Peter Bank

Publication date: 20 August 2015

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.7280

Mathematics Subject Classification ID

Random fields (60G60) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ A model for a large investor trading at market indifference prices. I: Single-period case ⋮ Superreplication when trading at market indifference prices

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• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
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