Before revision: We consider thin financial markets involving a finite number of tradeable securities. Traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the level of risk aversion they reveal through the transaction , thereby impacting prices and allocations.
After revision: We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the level of risk aversion they reveal through the transaction , thereby impacting prices and allocations.