Two-agent Pareto optimal cooperative investment in incomplete market: An equivalent characterization

被引:0
作者
Qing Zhou
机构
[1] Beijing University of Posts and Telecommunications,School of Science
来源
Journal of Systems Science and Complexity | 2011年 / 24卷
关键词
Backward stochastic differential equation; cooperative investment; incomplete market; Pareto optimum; stochastic utility;
D O I
暂无
中图分类号
学科分类号
摘要
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents’ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time T0 one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [T0, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations (BSDEs, for short), we give an equivalent characterization of the Pareto optimal cooperative strategies.
引用
收藏
页码:701 / 710
页数:9
相关论文
共 46 条
  • [1] Cox J. C.(1989)Optimal consumption and portfolio policies when asset prices follow a diffusion process J. Econ. Theory 49 33-83
  • [2] Huang C. F.(1991)A variational problem arising in financial economics J. Math. Econ. 20 465-487
  • [3] Cox J. C.(1987)Optimal portfolio and consumption decision for a small investor on a finite horizon SIAM J. Contr. Optim. 25 1557-1586
  • [4] Huang C. F.(1986)A stochastic calculus model of continuous trading: Optimal portfolio Math. Oper. Res. 11 371-382
  • [5] Karatzas I.(1991)Consumption and portfolio policies with incomplete markets and shortsale constraints: The finite-dimensional case Math. Finance 1 1-10
  • [6] Lehoczky J. P.(1991)Consumption and portfolio policies with incomplete markets and shortsale constraints: The infinite-dimensional case J. Econ. Theory 54 259-304
  • [7] Shreve S. E.(1991)Martingale and duality methods for utility maximization in incomplete markets SIAM J. Contr. Optim. 29 702-730
  • [8] Pliska S. R.(1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets Ann. Appl. Probab. 9 904-950
  • [9] He H.(2003)Necessary and sufficient conditions in the problem of optimal investment in incomplete markets Ann. Appl. Probab. 13 1504-1516
  • [10] Pearson N. D.(2004)Multi-agent investment in incomplete markets Finance and Stochastics 8 241-259