Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

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

Auteur(s):

Code(s) de Classification MSC:

Résumé: This paper deals with the problem of price formation on a market with asymetric information and several risky assets. As in Back (1992) and Cho (1997), we consider a model with a single insider and we extend to a continuous time framework the multivariate security model of CaballÈ and Krishnan (1994). We permit two kinds of behaviour for the insider, risk neutral and risk averse with an exponential utility.

Mots Clés: equilibrium theory ; portfolio optimization ; asymetric information ; pricing in continuous time

Date: 2001-06-12

Prépublication numéro: PMA-667