英文标题：
《Effective risk aversion in thin risk-sharing markets》
---
作者：
Michail Anthropelos, Constantinos Kardaras, Georgios Vichos
---
最新提交年份：
2018
---
英文摘要：
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We argue that traders relatively more exposed to market risk tend to submit more elastic demand functions. Noncompetitive equilibrium prices and allocations result as an outcome of a game among traders. General sufficient conditions for existence and uniqueness of such equilibrium are provided, with an extensive analysis of two-trader transactions. Even though strategic behaviour causes inefficient social allocations, traders with sufficiently high risk tolerance and/or large initial exposure to market risk obtain more utility gain in the noncompetitive equilibrium, when compared to the competitive one.
---
中文摘要：
我们考虑的是不完全金融市场，在不完全金融市场中，具有异质偏好和风险敞口的交易员有动机在他们提交的需求计划中采取战略性行为，从而影响价格和配置。我们认为，相对而言，暴露于市场风险的交易者倾向于提交更具弹性的需求函数。非竞争性均衡价格和分配是交易者之间博弈的结果。通过对两个交易者交易的广泛分析，给出了这种均衡存在唯一的一般充分条件。尽管战略行为导致社会分配效率低下，但与竞争均衡相比，具有足够高风险承受能力和/或较大初始市场风险敞口的交易者在非竞争均衡中获得更多的效用收益。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
PDF下载：
-->