2 1 Ja n 20 09 PARTIAL EQUILIBRIA WITH CONVEX CAPITAL REQUIREMENTS : EXISTENCE , UNIQUENESS AND STABILITY

@inproceedings{Anthropelos200921J,
  title={2 1 Ja n 20 09 PARTIAL EQUILIBRIA WITH CONVEX CAPITAL REQUIREMENTS : EXISTENCE , UNIQUENESS AND STABILITY},
  author={Michail Anthropelos and Gordan Zitkovic},
  year={2009}
}
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents’ risk preferences are modelled by convex capital requirements, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to sufficient conditions for the existence and uniqueness, we also show that the equilibrium prices are stable with respect to… CONTINUE READING

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