Incomplete Market

On the existence of personal equilibria ArXiv ID: 2512.08348 “View on arXiv” Authors: Laurence Carassus, Miklós Rásonyi Abstract We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market model such an equilibrium indeed exists, under appropriate technical assumptions. Keywords: Personal Equilibrium, Utility Maximization, Incomplete Market, Reference Dependence, Game Theory, General/Asset Pricing ...

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach ArXiv ID: 2410.01378 “View on arXiv” Authors: Unknown Abstract This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero volatility and constant relative risk aversion forward preferences. Given the non-convexity of the Hamiltonian with respect to uncertain volatilities, we first construct robust randomized forward preferences through endogenous randomization in an auxiliary market. {“Therein, w”}e derive the corresponding optimal and robust investment and consumption strategies. Furthermore, we show that such forward preferences and strategies, developed in the auxiliary market, remain optimal and robust in the physical market, offering a comprehensive {“analysis”} for forward investment and consumption under model uncertainty. ...