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A model for a large investor trading at market indifference prices. I: single-period case

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journal contribution
posted on 2013-12-01, 00:00 authored by Peter Bank, Dmitry KramkovDmitry Kramkov

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.

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Publisher Statement

The final publication is available at Springer via http://dx.doi.org/10.1007/s00780-015-0258-y

Date

2013-12-01