prices for incomplete markets. Good-deal valuations are determined such that not just opportunities for arbitrage but also … for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …

framework while still obtaining Pareto optimality. In the framework developed, the aggregate risk components of individual risks … are exchanged through a highly reduced set of nonspecific securities, while the idiosyncratic risk components are insured …

extraction and explanation of the source of term risk. These findings provide: (i) a detailed analysis of the incomplete market … paradigm that encapsulates inter-bank term rates and the risk management processes involved therein; and (ii) theoretical and …

We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents …

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in … equilibrium ; incomplete markets ; heterogenous agents ; trading constraints ; backward stochastic difference equations …

are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of …

This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and …

In this paper we study the effects of financial integration on risk-sharing. Conventional macroeconomic theory suggests … that the integration of financial markets improves welfare. In contrast to the literature we assume that households have … heterogeneous beliefs. Because of the differences in beliefs, households are not only sharing the risk but also speculating. We show …