## Equilibrium Prices for Monetary Utility Functions

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.

Published in:
International Journal of Theoretical and Applied Finance, 11, 3, 325-343
Year:
2008
Publisher:
World Scientific Publishing
ISSN:
0219-0249
Keywords:
Laboratories: