We consider the problem of optimally acquiring a position in a financial asset by submitting orders to a standard exchange and a dark pool. We assume that volatility is stochastic and trading at the standard exchange causes a price impact. Orders sent to the dark pool do not generate price...

We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the...

We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and...