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摘要翻译：
本文研究了在逆向选择条件下，多个代理竞争异质代理业务时的最优衍生品设计、利润最大化和风险最小化问题。在代理人的最佳反应对应中，联系的存在使代理人的支付函数不连续。这些不连续性是通过有效的破坏规则来处理的。首先，将Carlier，Ekeland和Touzi(2007)提出的利润最大化机构的最优衍生品设计模型推广到多企业环境，并利用Page和Monteiro(2003，2007，2008)的结果证明了（混合策略）纳什均衡的存在性。第二步，我们考虑更复杂的风险最小化企业的情况。本文引入了社会有效分配的概念，并证明了社会有效分配的存在性。在熵风险度量的特殊情况下，存在一个有效的“固定-混合”打破规则，即企业以一定的比例分享整个市场。
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英文标题：
《Efficiency and Equilibria in Games of Optimal Derivative Design》
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作者：
Ulrich Horst and Santiago Moreno-Bromberg
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最新提交年份：
2011
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分类信息：
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
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英文摘要：
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties in the agents' best-response correspondences yields discontinuous payoff functions for the agencies. These discontinuities are dealt with via efficient tie--breaking rules. In a first step, the model presented by Carlier, Ekeland & Touzi (2007) of optimal derivative design by profit-maximizing agencies is extended to a multiple--firm setting, and results of Page & Monteiro (2003, 2007, 2008) are used to prove the existence of (mixed-strategies) Nash equilibria. On a second step we consider the more complex case of risk minimizing firms. Here the concept of socially efficient allocations is introduced, and existence of the latter is proved. It is also shown that in the particular case of the entropic risk measure, there exists an efficient "fix--mix" tie-breaking rule, in which case firms share the whole market over given proportions.
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PDF链接：
https://arxiv.org/pdf/1107.0839
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