Abstract
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents’ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time T 0 one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [T 0, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations (BSDEs, for short), we give an equivalent characterization of the Pareto optimal cooperative strategies.
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This research is partially supported by the Natural Science Foundation of China under Grant Nos. 11001029 and 10971220, and the Fundamental Research Funds for the Central Universities (BUPT2009RC0705).
This paper was recommended for publication by Editor Shouyang WANG.
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Zhou, Q. Two-agent Pareto optimal cooperative investment in incomplete market: An equivalent characterization. J Syst Sci Complex 24, 701–710 (2011). https://doi.org/10.1007/s11424-010-9002-z
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DOI: https://doi.org/10.1007/s11424-010-9002-z