We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential equation of conditional McKean-Vlasov type, asymptotically...

This article presents an equilibrium-based multi-agent optimal consumption and portfolio problem incorporating sentiments, where multiple agents have heterogeneous (optimistic, pessimistic, neutral) views on fundamental risks represented by Brownian motions.Each agent maximizes its expected...

This supplementary file provides details in the proof of Theorem 3 in Section 3, an example of the stochastic process satisfying Assumptions 3 and 4, and proofs for the propositions and the lemma in Sections 3 and 6

This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for...

This paper develops a new multi-agent model to create a novel warning signal for equity investment, which well replicates actual stock and bond futures price dynamics through estimating fund flows of typical trading agents. Particularly, our model contains four types of agents taking equity/bond...