BIRS Workshop Lecture Videos

Banff International Research Station Logo

BIRS Workshop Lecture Videos

Radner equilibrium in incomplete Lévy models Larsen, Kasper


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)

Item Media

Item Citations and Data


Attribution-NonCommercial-NoDerivatives 4.0 International