Department of Mathematics

Speaker: Jin Hyuk Choi
Title: Taylor Approximation of Incomplete Radner Equilibrium Models
Affiliation: Carnegie Mellon University
Date: Wednesday, January 21, 2015
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. We will first explain the notion of Radner equilibria by using the one-period binomial model. We will see how the complete market assumption simplifies the mathematical structure. In the next part we will consider the setting of exponential investors and uncertainty governed by Brownian motions. Here we will show the existence of an equilibrium for a general class of incomplete models. Finally, we will show that the general incomplete equilibrium can be approximated by a tractable equilibrium stemming from exponential-quadratic models.