英文标题：
《Taylor approximation of incomplete Radner equilibrium models》
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作者：
Jin Hyuk Choi and Kasper Larsen
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最新提交年份：
2014
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英文摘要：
In the setting of exponential investors and uncertainty governed by Brownian motions we first prove the existence of an incomplete equilibrium for a general class of models. We then introduce a tractable class of exponential-quadratic models and prove that the corresponding incomplete equilibrium is characterized by a coupled set of Riccati equations. Finally, we prove that these exponential-quadratic models can be used to approximate the incomplete models we studied in the first part.
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中文摘要：
在指数投资者和布朗运动控制的不确定性的背景下，我们首先证明了一类一般模型的不完全平衡的存在性。然后，我们引入了一类可处理的指数二次模型，并证明了相应的不完全平衡由一组耦合的Riccati方程描述。最后，我们证明了这些指数二次模型可以用来逼近我们在第一部分研究的不完全模型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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