|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.
Speaker: Hao Xing