Asymmetric information and imperfect competition in a continuous time multivariate security model
type: Item
instance of: scholarly article
title: Asymmetric information and imperfect competition in a continuous time multivariate security model
zbMATH Open document ID: 1060.91092
author: Guillaume Lasserre
published in: Finance and Stochastics
publication date: 2004-11-24T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91B60
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 2118700
zbMATH Keywords: equilibrium theory
zbMATH Keywords: portfolio optimization
zbMATH Keywords: pricing in continuous time
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: s00780-003-0118-z
OpenAlex ID: W2029562358
DOI: 10.1007/S00780-003-0118-Z
description: scientific article; zbMATH DE number 2118700