Equilibrium pricing under relative performance concerns

Detalhes bibliográficos
Autor(a) principal: Bielagk, Jana
Data de Publicação: 2017
Outros Autores: Lionnet, Arnaud, Reis, Gonçalo Dos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://doi.org/10.1137/16M1082536
Resumo: Fundacao para a Ciencia e a Tecnologia (Portuguese Foundation for Science and Technology) (UID/MAT/00297/2013)
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spelling Equilibrium pricing under relative performance concernsEntropic riskEquilibrium pricingFinancial innovationG-conditional risk measureMultidimensional quadratic BSDEPerformance concernsRepresentative agentSocial interactionsNumerical AnalysisFinanceApplied MathematicsFundacao para a Ciencia e a Tecnologia (Portuguese Foundation for Science and Technology) (UID/MAT/00297/2013)We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on nontradable underlyings is introduced to the market and priced in an equilibrium framework by agents who assess risk using convex dynamic risk measures expressed by backward stochastic differential equations (BSDEs). Each agent not only is exposed to financial and nonfinancial risk factors, but she also faces performance concerns with respect to the other agents. Within our proposed model we prove the existence and uniqueness of an equilibrium whose analysis involves systems of fully coupled multidimensional quadratic BSDEs. We extend the theory of the representative agent by showing that a nonstandard aggregation of risk measures is possible via weighted-dilated infimal convolution. We analyze the impact of the problem's parameters on the pricing mechanism, in particular how the agents' performance concern rates affect prices and risk perceptions. In extreme situations, we find that the concern rates destroy the equilibrium while the risk measures themselves remain stable.CMA - Centro de Matemática e AplicaçõesDM - Departamento de MatemáticaRUNBielagk, JanaLionnet, ArnaudReis, Gonçalo Dos2018-12-18T23:22:57Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article48application/pdfhttps://doi.org/10.1137/16M1082536eng1945-497XPURE: 10583349http://www.scopus.com/inward/record.url?scp=85041603748&partnerID=8YFLogxKhttps://doi.org/10.1137/16M1082536info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:26:54Zoai:run.unl.pt:10362/55064Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:32:49.286353Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Equilibrium pricing under relative performance concerns
title Equilibrium pricing under relative performance concerns
spellingShingle Equilibrium pricing under relative performance concerns
Bielagk, Jana
Entropic risk
Equilibrium pricing
Financial innovation
G-conditional risk measure
Multidimensional quadratic BSDE
Performance concerns
Representative agent
Social interactions
Numerical Analysis
Finance
Applied Mathematics
title_short Equilibrium pricing under relative performance concerns
title_full Equilibrium pricing under relative performance concerns
title_fullStr Equilibrium pricing under relative performance concerns
title_full_unstemmed Equilibrium pricing under relative performance concerns
title_sort Equilibrium pricing under relative performance concerns
author Bielagk, Jana
author_facet Bielagk, Jana
Lionnet, Arnaud
Reis, Gonçalo Dos
author_role author
author2 Lionnet, Arnaud
Reis, Gonçalo Dos
author2_role author
author
dc.contributor.none.fl_str_mv CMA - Centro de Matemática e Aplicações
DM - Departamento de Matemática
RUN
dc.contributor.author.fl_str_mv Bielagk, Jana
Lionnet, Arnaud
Reis, Gonçalo Dos
dc.subject.por.fl_str_mv Entropic risk
Equilibrium pricing
Financial innovation
G-conditional risk measure
Multidimensional quadratic BSDE
Performance concerns
Representative agent
Social interactions
Numerical Analysis
Finance
Applied Mathematics
topic Entropic risk
Equilibrium pricing
Financial innovation
G-conditional risk measure
Multidimensional quadratic BSDE
Performance concerns
Representative agent
Social interactions
Numerical Analysis
Finance
Applied Mathematics
description Fundacao para a Ciencia e a Tecnologia (Portuguese Foundation for Science and Technology) (UID/MAT/00297/2013)
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01T00:00:00Z
2018-12-18T23:22:57Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://doi.org/10.1137/16M1082536
url https://doi.org/10.1137/16M1082536
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1945-497X
PURE: 10583349
http://www.scopus.com/inward/record.url?scp=85041603748&partnerID=8YFLogxK
https://doi.org/10.1137/16M1082536
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 48
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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