Incomplete-market equilibria with exponential utilities
Speaker:
Gordan Zitkovic, University of Texas at Austin
Date and Time:
Wednesday, January 13, 2010 - 10:30am to 11:15am
Abstract:
In addition to existence, the excess-demand approach allows us to establish uniqueness and provide efficient computational algorithms for incomplete-market stochastic financial equilibria when agents exhibit constant absolute risk aversion. An overview of recent results (including those jointly obtained with M. Anthropelos and with Y. Zhao) will be given.