A model for a large investor trading at market indifference prices. I: single-period case
arXiv:1110.3224 · doi:10.1007/s00780-015-0258-y
Abstract
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
Shorten from 69 to 30 pages due to referees' requests; a part of the previous version has been moved to "The stochastic field of aggregate utilities and its saddle conjugate", arXiv:1310.7280