Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, March 14, 2018
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  An example of continuous-time Radner equilibrium

Abstract:   We consider a production economy where dividend of the asset is not fully spanned. In a Markovian setting, we establish the existence of a continuous-time Radner equilibrium which is endogenously incomplete. When the unhedgable component in the asset dividend is small, we analyze the first order difference between complete and incomplete equilibrium.


This is a joint work with Daniel Schwarz.

Files:


Speaker:  Hao Xing
Institution:  LSE

Event Organizer:     

 

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