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摘要翻译：
我们建立了一个大型经济主体的单周期模型，该主体与做市商以效用无关的价格进行交易。一对共轭鞍函数在描述帕累托最优配置时，根据一个有代表性的做市商的效用函数发挥了关键作用。
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英文标题：
《A model for a large investor trading at market indifference prices. I:
single-period case》
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作者：
Peter Bank (Technische Universit\"at Berlin) and Dmitry Kramkov
(Carnegie Mellon and Oxford)
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最新提交年份：
2013
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
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PDF链接：
https://arxiv.org/pdf/1110.3224
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