Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation

DOI10.1016/J.JEDC.2022.104375OpenAlexW4223585116MaRDI QIDQ2168144

Jérôme B. Detemple, Scott Robertson, Marcel Rindisbacher

Publication date: 31 August 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104375

zbMATH Keywords

regulationdiffusionswelfarerational expectations equilibriumheterogenous information

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Additional logarithmic utility of an insider
• Pricing in an equilibrium based model for a large investor
• Dynamic exponential utility indifference valuation
• On the Welfare Analysis of Rational Expectations Equilibria with Asymmetric Information
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• Anticipative portfolio optimization
• Regulating Insider Trading When Investment Matters *
• Dynamic Noisy Rational Expectations Equilibrium With Insider Information

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