Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets

We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and hold in discrete as well as continuous time. For agents wit...

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Bibliographische Detailangaben

Hauptverfasser:	Czichowsky, Christoph, Herdegen, Martin, Martins, David
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Economics Quantitative Finance - Mathematical Finance
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