Abstract.
The problem of the expected utility maximization in incomplete markets for a single agent is well understood in a fairly general setting. This paper studies the problem for the multi-agent case. For this case a cooperative investment game is posed as follows: firstly collect all agents’ capital together at the initial time, then invest the total capital in a trading strategy, and finally divide the terminal wealth of the trading strategy and each of them gets a part. We give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non cooperation, and prove that the core of the cooperative investment game is non-empty under mild conditions using Scarf theorem.
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Received: August 2003,
Mathematics Subject Classification (1991):
91B28, 91A12, 60H30
JEL Classification:
G11, C71
This work is supported by the National Natural Science Foundation of China under grant 10201031. It is a pleasure for the author to express his sincere thanks to an anonymous referee for valuable suggestions.
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Xia, J. Multi-agent investment in incomplete markets. Finance and Stochastics 8, 241–259 (2004). https://doi.org/10.1007/s00780-003-0115-2
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DOI: https://doi.org/10.1007/s00780-003-0115-2