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Probability and Computational Finance Seminar
Hao Xing
London School of Economics
Title: An example of continuous-time Radner equilibrium

Abstract: We consider a production economy where the 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. (Based on joint work with Daniel Schwarz.)

Date: Monday, March 19, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Johannes Muhle-Karbe