Asymmetric information and imperfect competition in a continuous time multivariate security model
| Autor: | Guillaume Lasserre |
|---|---|
| Přispěvatelé: | Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Benassù, Serena |
| Jazyk: | angličtina |
| Rok vydání: | 2004 |
| Předmět: |
Statistics and Probability
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR] 050208 finance General equilibrium theory media_common.quotation_subject Mathematical finance 05 social sciences Computer security model 01 natural sciences [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 010104 statistics & probability Information asymmetry 0502 economics and business Economics Giffen good 0101 mathematics Statistics Probability and Uncertainty Portfolio optimization Function (engineering) Imperfect competition Mathematical economics Finance media_common |
| Zdroj: | Finance and Stochastics Finance and Stochastics, Springer Verlag (Germany), 2004, 8 n.2, pp.285-309 Finance and Stochastics, 2004, 8 n.2, pp.285-309 |
| ISSN: | 0949-2984 1432-1122 |
| Popis: | This paper deals with the problem of price formation in a market with asymmetric information and several risky assets. We then extend the multivariate security model of Caballe and Krishnan (1994) to a continuous time framework, and general utility function. Our model enables us to observe some results which are specific to multi security markets such as Giffen effect. An application of the main result will be the non trivial generalizations of the models of Back (1992) and Cho (1997). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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