The bilateral exchange between two agents (with an initial endowment of risky and not risis ky assets) is analysed here. The aim of this work to present a model describing the dynamics needed to reach a Pareto optimal settlment price. Risk aversion of the agents is modeled through D.A.R.A. utility functions. The work proposes a method to determine the solution of such an optimization problem.
Pareto Optimal Financial Trades with Risky and Not Risky Assets
FALBO, Paolo Stefano;GRASSI, Rosanna
1999-01-01
Abstract
The bilateral exchange between two agents (with an initial endowment of risky and not risis ky assets) is analysed here. The aim of this work to present a model describing the dynamics needed to reach a Pareto optimal settlment price. Risk aversion of the agents is modeled through D.A.R.A. utility functions. The work proposes a method to determine the solution of such an optimization problem.File in questo prodotto:
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