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Multidimensional Kyle-Back model with a risk averse informed trader

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  • Shreya Bose
  • Ibrahim Ekren

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.

Suggested Citation

  • Shreya Bose & Ibrahim Ekren, 2021. "Multidimensional Kyle-Back model with a risk averse informed trader," Papers 2111.01957, arXiv.org.
    • Handle: RePEc:arx:papers:2111.01957
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    References listed on IDEAS

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    Cited by:

    1. Ibrahim Ekren & Brad Mostowski & Gordan v{Z}itkovi'c, 2022. "Kyle's Model with Stochastic Liquidity," Papers 2204.11069, arXiv.org.
    2. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.

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