Asymmetric information and imperfect competition in a continuous time multivariate security model (Q1887277)

The goal of this paper is to develop a model with asymmetric information in continuous time with \(N\) risky assets and to compute an equilibrium determined by asset prices and the strategy of the insider. It is assumed in the model that market makers are risk-neutral whereas the informed trader has a non-specified utility function. The authors prove that from the point of view of enlarged filtration the signal received by the informed agent might be considered as the future liquidative value of asset prices or the terminal value of the noise trader's demand if this one is an Ornstein--Uhlenbeck process. They give conditions sufficient to construct an equilibrium without specifying the utility function of the informed trader.