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

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  • Guillaume Lasserre

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    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

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    File URL: http://hdl.handle.net/10.1007/s00780-003-0118-z
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 8 (2004)
    Issue (Month): 2 (05)
    Pages: 285-309

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    Handle: RePEc:spr:finsto:v:8:y:2004:i:2:p:285-309

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Equilibrium theory; portfolio optimization; asymmetric information; pricing in continuous time;

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    Cited by:
    1. Christoph K\"uhn & Matthias Riedel, 2012. "Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration," Papers 1210.4000, arXiv.org.

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