Konferenz: Workshop on Mathematics in Finance

Vortrag von Prof. Dr. Constantinos Kardaras

Datum: 18.10.13 Zeit: 11.30 - 12.20 Raum: Y27H46

A market is considered with several acting financial agents, whose aim is to increase their utility by efficiently sharing their random endowments. Given the endogenously derived optimal sharing rules, we consider the situation where agents do not reveal their true endowments, but instead report as endowments the random quantities that maximise their utility when the sharing rules are applied. Under exponential utilities (coinciding with entropic risk measures), an analysis of Nash equilibrium is carried out, where it is shown in particular that the optimal contract of each agent possesses endogenous bounds only depending on the agents' risk tolerance, and not on their random endowment. Existence and uniqueness of Nash equilibrium for the 2-player game is obtained. Furthermore, it is shown that such an equilibrium benefits extremely high risk tolerance agents and results in risk sharing inefficiency.