Date of Original Version

12-2013

Type

Article

Rights Management

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.

DOI

10.1007/s00780-015-0258-y

Included in

Mathematics Commons

Share

COinS
 

Published In

Finance and Stochastics, 19, 2, 449-472.