Paper: arXiv 2512.08348

Authors: Laurence Carassus, Miklós Rásonyi

Abstract

We consider an investor who, while maximizing his/her expected utility, also compares the outcome to a reference entity. We recall the notion of personal equilibrium and show that, in a multistep, generically incomplete financial market model such an equilibrium indeed exists, under appropriate technical assumptions.

Complexity vs Empirical Score

  • Math Complexity: 8.5/10
  • Empirical Rigor: 2.0/10
  • Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: The paper is heavily mathematical, using advanced tools like Schauder’s fixed point theorem and Hölder continuity proofs in Banach spaces, but it focuses purely on theoretical existence under abstract assumptions with no data, backtests, or implementation details.

Research Flowchart

  flowchart TD
  A["Research Goal:<br>Existence of Personal Equilibrium<br>in Incomplete Markets"] --> B["Methodology:<br>Game Theory Framework<br>Utility Maximization"]
  B --> C["Model Setup:<br>Multi-step Incomplete Market<br>Reference Dependence"]
  C --> D["Key Assumption:<br>Technical Conditions<br>e.g., Market Structure"]
  D --> E["Computational Process:<br>Fixed Point Argument<br>Existence Proof"]
  E --> F["Key Findings:<br>Equilibrium Exists<br>for General Incomplete Markets"]
  F --> G["Outcome:<br>Validates Reference-Dependent<br>Utility Models"]

Cited References (19)

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  2. Reference Dependence and Market Participation (2020) — link
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  5. Reference-Dependent Risk Attitudes (2007) — link
  6. Convergence of Utility Indifference Prices to the Superreplication Price: the Whole Real Line Case (2007) — link
  7. Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do (2007) — link
  8. Stochastic optimal control : the discrete time case (2007)
and 11 more
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  5. Disappointment in Decision Making Under Uncertainty (1985) — link
  6. The Utility of Wealth (1952) — link
  7. Reference-dependent preferences (2013) — link
  8. Ambiguity Aversion and Comparative Ignorance (1995)
  9. Infinite Dimensional Analysis: A Hitchhiker’s Guide (1994)
  10. Functional analysis. 2nd ed (1991)
  11. Nonlinear functional analysis and its applications, part I: Fixed-point theorems (1991) — link

0 of 19 cited works are in the corpus; resolved via arXiv source bundles, Semantic Scholar and OpenAlex. Corpus-wide: 2518 linked papers.