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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 01.12.2013, 00:00 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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