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Relaxed Utility Maximization in Complete Markets
"... For a relaxed investor – one whose relative risk aversion vanishes as wealth becomes large – the utility maximization problem may not have a solution in the classical sense of an optimal payoff represented by a random variable. This nonexistence puzzle was discovered by Kramkov and Schachermayer (19 ..."
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Cited by 3 (1 self)
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For a relaxed investor – one whose relative risk aversion vanishes as wealth becomes large – the utility maximization problem may not have a solution in the classical sense of an optimal payoff represented by a random variable. This nonexistence puzzle was discovered by Kramkov and Schachermayer (1999), who introduced the reasonable asymptotic elasticity condition to exclude such situations. Utility maximization becomes wellposed again representing payoffs as measures on the sample space, including those allocations singular with respect to the physical probability. The expected utility of such allocations is understood as the maximal utility of its approximations with classical payoffs – the relaxed expected utility. This paper decomposes relaxed expected utility into its classical and singular parts, represents the singular part in integral form, and proves the existence of optimal solutions for the utility maximization problem, without conditions on the asymptotic elasticity. Key to this result is the Polish space structure assumed on the sample space.
Asset pricing dynamics in complete markets
, 2013
"... The standard general equilibrium asset pricing models typically undertake two common assumptions of homogeneous agents and rational expectations equilibrium. However, this context sometimes yields outcomes that are inconsistent with reality like negligible trading volume. In order to explain the ove ..."
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the overwhelming evidence of trading volume, I would need to develop a model where the usual notrade theorems fail to hold. If the agents are perfectly rational then it would prove di cult to implement a model that violates the notrade theorems. Therefore, I have sought to implement an arti cial asset market
A complete market model with Poisson and Brownian components
, 1999
"... We consider a complete market model with jumps, using a martingale constructed from a Brownian motion and a Poisson process that are mutually excluding each other. The chaotic calculus relative to this martingale is developed, and applications to the computation of hedging strategies are presented v ..."
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Cited by 7 (0 self)
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We consider a complete market model with jumps, using a martingale constructed from a Brownian motion and a Poisson process that are mutually excluding each other. The chaotic calculus relative to this martingale is developed, and applications to the computation of hedging strategies are presented
A REMARK ON THE SUPPOSED EQUIVALENCE BETWEEN COMPLETE MARKETS AND PERFECT FORESIGHT HYPOTHESIS
, 2009
"... A remark on the supposed equivalence between complete markets and perfect foresight hypothesis ..."
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A remark on the supposed equivalence between complete markets and perfect foresight hypothesis
Trading Volume in General Equilibrium with Complete Markets
, 2011
"... This paper investigates asset trade in a generalequilibrium completemarkets endowment economy with heterogeneous agents. It shows that standard notrade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning s ..."
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This paper investigates asset trade in a generalequilibrium completemarkets endowment economy with heterogeneous agents. It shows that standard notrade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning
IMPERFECT INFORMATION LEADS TO COMPLETE MARKETS IF DIVIDENDS ARE DIFFUSIONS
"... A pure exchange economy with a financial market is studied where aggregate dividends are modeled as a diffusion. The dynamics of the diffusion are allowed to depend on factors which are unobservable to the agents and have to be estimated. With perfect information, the asset market would be incomplet ..."
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be incomplete because there are more factors than traded assets. Imperfect information reduces the number of observable risks, but also the number of admissible portfolio strategies. It is shown that, as long as the observable dividend stream is a diffusion, the asset market is complete. It is therefore
Monte Carlo Computation of Optimal Portfolios in Complete Markets
 Journal of Economic Dynamics and Control
, 2000
"... We introduce a method that relies exclusively on Monte Carlo simulation in order to compute optimal portfolios for utility maximization problems. Our method is completely general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applied regardle ..."
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Cited by 11 (0 self)
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We introduce a method that relies exclusively on Monte Carlo simulation in order to compute optimal portfolios for utility maximization problems. Our method is completely general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applied
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets∗
"... We prove that in smooth Markovian continuous–time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist. ..."
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Cited by 4 (1 self)
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We prove that in smooth Markovian continuous–time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
Large Traders, Hidden Arbitrage and Complete Markets
 Journal of Banking and Finance
, 2005
"... This paper studies hidden arbitrage opportunities in markets where large traders affect the price process, and where the market is complete (in the classical sense). The arbitrage opportunities are “hidden” because they occur on a small set of times (typically of Lebesgue measure zero). These arbitr ..."
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Cited by 7 (1 self)
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This paper studies hidden arbitrage opportunities in markets where large traders affect the price process, and where the market is complete (in the classical sense). The arbitrage opportunities are “hidden” because they occur on a small set of times (typically of Lebesgue measure zero
A Complete Market Model for Option Valuation
"... This paper is an introduction and survey of BlackScholes Model as a complete model for Option Valuation. It is a Stochastic processes that represent diffusive dynamics, a common and improved modelling assumption for financial systems. As the markets are frictionless generally, it becomes very neces ..."
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This paper is an introduction and survey of BlackScholes Model as a complete model for Option Valuation. It is a Stochastic processes that represent diffusive dynamics, a common and improved modelling assumption for financial systems. As the markets are frictionless generally, it becomes very
Results 11  20
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866,341