Qing Zhou、吳衛(wèi)星，Two-agent Pareto optimal cooperative

Qing Zhou、吳衛(wèi)星，Two-agent Pareto optimal cooperative investment in general semimartingale model，Optimization: A Journal of Mathematical Programming and Operations Research，SSCI， 2011-04-01 。

Abstract：We consider the problem of expected utility maximization for the two-agent case in general semimartingale model. For this case a cooperative investment game is posed as follows: firstly collect both agents' capital as a whole at the initial time, and invest it in a trading strategy. Then at some time T 0 one agent quits cooperation and terminates investment, so they divide the wealth and each of them gets a part. During the time interval [T 0, T], the other agent invests her capital in a new trading strategy herself. By stochastic optimization methods with the help of the theory of backward stochastic differential equations, we give a characterization of Pareto optimal cooperative strategies and a characterization of situations where cooperation strictly Pareto dominates non-cooperation in our model.