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

Guillaume Lasserre ()

Finance and Stochastics, 2004, vol. 8, issue 2, 285-309

Abstract: 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 Caballé 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). Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Equilibrium theory; portfolio optimization; asymmetric information; pricing in continuous time (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-003-0118-z (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:8:y:2004:i:2:p:285-309

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-003-0118-z

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().