Friday, 18 March 2011: 17:40
In an incomplete financial market, we consider several risk-averse agents who negotiate the price of a bundle of contingent claims. Assuming that the agent's risk preferences are modelled by convex risk measures, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to suffucient conditions for the existence and uniqueness, we extensively analyze the special case where agents are exponential utility maximizers.