Thursday, May 23, 2019
Polo Santa Marta, Via Cantarane 24, Sala Vaona
A market of financial securities is considered, where agents are
heterogeneous in beliefs, risk tolerance and endowments, and may not have
access to the trade of all securities. The market is assumed thin: agents may
influence the market and strategically trade against their price impacts.
Existence and uniqueness of the equilibrium is shown, and an efficient
algorithm is provided to numerically obtain the equilibrium prices and
allocations given market’s inputs. This setting exhibits certain interesting
phenomena that pinpoint the importance of difference of beliefs across agents
on the covariance matrix of the securities.
(Based on joint work with M. Anthropelos.)