Multi-agent investment in incomplete markets
文献类型：期刊论文
| 作者 | Xia, JM
|
| 刊名 | FINANCE AND STOCHASTICS
 |
| 出版日期 | 2004-05-01 |
| 卷号 | 8期号:2页码:241-259 |
| 关键词 | cooperative investment Pareto optimum core incomplete markets |
| ISSN号 | 0949-2984 |
| DOI | 10.1007/s00780-003-0115-2 |
| 英文摘要 | 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. |
| 语种 | 英语 |
| WOS记录号 | WOS:000221122000005 |
| 出版者 | SPRINGER-VERLAG HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/854]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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