Multi-agent investment in incomplete markets

@article{Xia2004MultiagentII,
  title={Multi-agent investment in incomplete markets},
  author={Jianming Xia},
  journal={Finance and Stochastics},
  year={2004},
  volume={8},
  pages={241-259}
}
  • Jianming Xia
  • Published 2004
  • Economics, Computer Science
  • Finance and Stochastics
Abstract.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… Expand
Two-agent Pareto optimal cooperative investment in incomplete market: An equivalent characterization
  • Qing Zhou
  • Economics, Computer Science
  • J. Syst. Sci. Complex.
  • 2011
Cooperative Hedging in Incomplete Markets
Synergy effect of cooperative investment
Dynamic Cooperative Investment
...
1
2
...