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


  • Guillaume Lasserre



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

Suggested Citation

  • Guillaume Lasserre, 2004. "Asymmetric information and imperfect competition in a continuous time multivariate security model," Finance and Stochastics, Springer, vol. 8(2), pages 285-309, May.
  • Handle: RePEc:spr:finsto:v:8:y:2004:i:2:p:285-309
    DOI: 10.1007/s00780-003-0118-z

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    References listed on IDEAS

    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
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    Cited by:

    1. Christoph Kuhn & Matthias Riedel, 2012. "Price-Setting of Market Makers: A Filtering Problem with an Endogenous Filtration," Papers 1210.4000,


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