凸资本要求下的部分均衡：存在性、唯一性和稳定性
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
摘要：
在一个金融市场的不完全半鞅模型中，我们考虑几个风险厌恶的金融代理人对一组或有债权进行价格谈判。假设代理人的风险偏好是由凸资本要求建模，我们定义和分析他们的需求函数，并提出了一个部分均衡价格的概念。除了充分条件的存在性和唯一性，我们还表明，均衡价格是稳定的代理人的风险偏好的误指定。
英文摘要：
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex capital requirements, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to sufficient conditions for the existence and uniqueness, we also show that the equilibrium prices are stable with respect to misspecifications of agents' risk preferences.
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