Multidimensional Kyle-Back model with a risk averse informed trader

Shreya Bose and Ibrahim Ekren

Papers from arXiv.org

Abstract: We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

Date: 2021-11
New Economics Papers: this item is included in nep-cwa and nep-upt
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