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(s): Hao Xing (LSE)
This is a joint work with Daniel Schwarz. Speaker(s): Hao Xing (LSE)
| Building: | East Hall |
|---|---|
| Event Type: | Workshop / Seminar |
| Tags: | Mathematics |
| Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |
