Jin Hyuk Choi
SPECIAL MATHEMATICS COLLOQUIUM
Speaker: Jin Hyuk Choi 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. |