An incomplete equilibrium with a stochastic annuity
Sign Up to like & getrecommendations! Published in 2018 at "Finance and Stochastics"
DOI: 10.1007/s00780-020-00415-6
Abstract: We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimise their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and… read more here.
Keywords: annuity; equilibrium; finance; stochastic annuity ... See more keywords