A model for a large investor trading at market indifference prices. I:   single-period case
  We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker. 
Peter Bank (Technische Universit\"at Berlin) and Dmitry Kramkov   (Carnegie Mellon and Oxford)
q-fin.TR math.PR q-fin.CP