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- W2891448203 abstract "We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and, along with unspanned income, the market is incomplete. Set in a Brownian framework, the income is driven by a multidimensional diffusion, and, in particular, includes mean-reverting dynamics. The equilibrium is characterized by a system of fully coupled quadratic backward stochastic differential equations, a solution to which is proved to exist under Markovian assumptions." @default.
- W2891448203 created "2018-09-27" @default.
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- W2891448203 date "2018-09-16" @default.
- W2891448203 modified "2023-09-27" @default.
- W2891448203 title "An incomplete equilibrium with a stochastic annuity" @default.
- W2891448203 hasPublicationYear "2018" @default.
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