ASMF seminar: Michail Anthropelos (University of Piraeus)

15June2018 12:30 - 13:30

Lecture

'Effective risk aversion in thin risk-sharing markets'

Abstract: 

We consider thin financial markets involving a finite number of tradeable securities. Traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the elasticity of their submitted demands, thereby impacting prices and allocations. We argue that traders relatively more exposed to market risk tend to submit more elastic demand functions. Non-competitive equilibrium prices and allocations result as an outcome of a game among traders. General sufficient conditions for existence and uniqueness of such equilibrium are provided, with an extensive analysis of two-trader transactions. Even though strategic behaviour causes inefficient social allocations, traders with sufficiently high risk tolerance and/or large initial exposure to market risk obtain more utility surplus in the non-competitive equilibrium, when compared to the competitive one. This is a joint work with C. Kardaras and G. Vichos (LSE).

Location

E5.22

  • Roeterseilandcampus - gebouw E

    Roetersstraat 11 | 1018 WB Amsterdam
    +31 (0)20 525 5387

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Published by  Economics and Business