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- W4366202489 abstract "In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unspanned by the security prices. The investors are heterogeneous in their initial wealth, risk-averseness parameter, as well as stochastic liability at the terminal time. We characterize the equilibrium risk-premium process of the risky stocks in terms of the solution to a novel mean-field backward stochastic differential equation (BSDE), whose driver has quadratic growth both in the stochastic integrands and in their conditional expectations. We prove the existence of a solution to the mean-field BSDE under several conditions and show that the resultant risk-premium process actually clears the market in the large population limit." @default.
- W4366202489 created "2023-04-19" @default.
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- W4366202489 date "2023-04-14" @default.
- W4366202489 modified "2023-10-08" @default.
- W4366202489 title "Mean-field equilibrium price formation with exponential utility" @default.
- W4366202489 doi "https://doi.org/10.48550/arxiv.2304.07108" @default.
- W4366202489 hasPublicationYear "2023" @default.
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