Date of Original Version
The final publication is available at Springer via http://dx.doi.org/10.1007/s00780-015-0258-y
Abstract or Description
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
Finance and Stochastics, 19, 2, 449-472.