Title	Radner equilibrium in incomplete Lévy models
Creator	Larsen, Kasper
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-26T15:30
Description	We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors’ income rates as well as the stock’s dividend rate are governed by discontinuous Lévy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an application, we show that the equilibrium Sharpe ratio can be increased and the equilibrium interest rate can be decreased (simultaneously) when the investors’ income streams cannot be traded. (Joint work with Tanawit Sae-Sue)
Extent	27 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Carnegie Mellon University
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-01-26
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339954
URI	http://hdl.handle.net/2429/59811
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

Open Collections

BIRS Workshop Lecture Videos