Multi-agent investment in incomplete markets

doi:10.1007/s00780-003-0115-2

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	Multi-agent investment in incomplete markets
	Xia, JM
	2004-05-01
发表期刊	FINANCE AND STOCHASTICS
ISSN	0949-2984
卷号	8 期号:2 页码:241-259
摘要	The problem of the expected utility maximization in incomplete markets for a single agent is well understood in a fairly general setting. This paper studies the problem for the multi-agent case. For this case a cooperative investment game is posed as follows: firstly collect all agents' capital together at the initial time, then invest the total capital in a trading strategy, and finally divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non cooperation, and prove that the core of the cooperative investment game is non-empty under mild conditions using Scarf theorem.
关键词	cooperative investment Pareto optimum core incomplete markets
DOI	10.1007/s00780-003-0115-2
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000221122000005
出版者	SPRINGER-VERLAG HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/855
专题	应用数学研究所
通讯作者	Xia, JM
作者单位	Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Xia, JM. Multi-agent investment in incomplete markets[J]. FINANCE AND STOCHASTICS,2004,8(2):241-259.
APA	Xia, JM.(2004).Multi-agent investment in incomplete markets.FINANCE AND STOCHASTICS,8(2),241-259.
MLA	Xia, JM."Multi-agent investment in incomplete markets".FINANCE AND STOCHASTICS 8.2(2004):241-259.