英文标题：
《Radner equilibrium in incomplete Levy models》
---
作者：
Kasper Larsen, Tanawit Sae Sue
---
最新提交年份：
2015
---
英文摘要：
  We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors\' income rates as well as the stock\'s dividend rate are governed by discontinuous Levy processes. Our main result provides the equilibrium (i.e., bond and stock price dynamics) in closed-form. As an application, we show that the equilibrium Sharpe ratio can be increased and the equilibrium interest rate can be decreased (simultaneously) when the investors\' income streams cannot be traded.
---
中文摘要：
我们建立了基于有限数量指数效用投资者的连续时间均衡模型。投资者的收益率和股票的股息率受不连续的利维过程控制。我们的主要结果提供了封闭形式的均衡（即债券和股票价格动态）。作为一个应用，我们证明了当投资者的收入流不能交易时，均衡夏普比率可以增加，均衡利率可以降低。
---
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
--

---
PDF下载：
-->