Business-Economics-Management Seminar

25/06/2013 - 13:00

Speaker:

 

Charles S. Tapiero

Topfer Chair Professor of Financial Engineering

Department of Finance and Risk Engineering

New York University Polytechnic Institute

 

Title:

Multi-Agent Pricing

Models and the CCAPM

 

 

ABSTRACT:

This paper outlines a Multi-Agent CCAPM pricing model that highlights both the effects of income inequalities and agents’ portfolio selection and their dependence.  The paper’s essential results consist in a decomposition of a multi-agents game into a two-agent pricing game consisting of a specific agent and a synthetic agent summarizing all other agents.  A number of cases, including debt pricing, the effects of regulation on prices, and others are used to demonstrate the effects of various economic factors and multi-agents on the financial pricing.