تقرير
Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility
| العنوان: | Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility |
|---|---|
| المؤلفون: | Detemple, Jerome, Robertson, Scott |
| سنة النشر: | 2022 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Mathematical Finance, 91G30, 91B69 |
| الوصف: | We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has no private signal. $\Psi$ is an arbitrary payoff function, and $X$ follows a time-homogeneous diffusion. Crucially, we allow $U$ to have von Neumann-Morgenstern preferences with a general utility function on $(0,\infty)$ satisfying the standard conditions. This extends previous constructions of equilibria with asymmetric information used when all agents have exponential utilities and enables us to study the impact of $U$'s initial share endowment on equilibrium. To allow for $U$ to have general preferences, we introduce a new method to prove existence of a partial communication equilibrium (PCE), where at time $0$, $U$ receives a less-informative signal than $I$. In the single asset case, this signal is recoverable by viewing the equilibrium price process over an arbitrarily short period of time, and hence the PCE is a dynamic noisy rational expectations equilibrium. Lastly, when $U$ has power (constant relative risk aversion) utility, we identify the equilibrium price in the small and large risk aversion limits. Comment: 45 pages, 3 figures |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2211.15573 |
| رقم الأكسشن: | edsarx.2211.15573 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |