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Volumn 8, Issue 2, 2004, Pages 285-309

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

Author keywords

Asymmetric information; Equilibrium theory; Portfolio optimization; Pricing in continuous time

Indexed keywords


EID: 24144466465     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-003-0118-z     Document Type: Article
Times cited : (19)

References (15)
  • 1
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    • Admati, A.R.: A noisy rational expectations equilibrium for multi-assets securities market. Econometrica 53, 629-657 (1985)
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    • Admati, A.R.1
  • 2
    • 0001027746 scopus 로고
    • Insider trading in continuous time
    • Back, K.: Insider trading in continuous time. Rev. Financial Stud. 5, 387-409 (1992)
    • (1992) Rev. Financial Stud. , vol.5 , pp. 387-409
    • Back, K.1
  • 3
    • 21344483445 scopus 로고
    • Asymmetric information and options
    • Back, K.: Asymmetric information and options. Rev. Financial Stud. 6(3), 435-472 (1993)
    • (1993) Rev. Financial Stud. , vol.6 , Issue.3 , pp. 435-472
    • Back, K.1
  • 4
    • 0001276881 scopus 로고    scopus 로고
    • Long lived information and intraday patteras
    • Back, K., Pedersen, H.: Long lived information and intraday patteras. J. Financial Markets 1, 385-402 (1998)
    • (1998) J. Financial Markets , vol.1 , pp. 385-402
    • Back, K.1    Pedersen, H.2
  • 5
    • 0036792297 scopus 로고    scopus 로고
    • Insider trading and risk aversion
    • Baruch, S.: Insider trading and risk aversion. J. Financial Markets 5(4), 451-464 (2002)
    • (2002) J. Financial Markets , vol.5 , Issue.4 , pp. 451-464
    • Baruch, S.1
  • 8
    • 0000811388 scopus 로고
    • Imperfect competition in a multi-security market with risk neutrality
    • Caballe, J., Krishnan, M.: Imperfect competition in a multi-security market with risk neutrality. Econometrica 62, 695-704 (1994)
    • (1994) Econometrica , vol.62 , pp. 695-704
    • Caballe, J.1    Krishnan, M.2
  • 9
    • 0003130424 scopus 로고
    • Grossissement Gaussien de la filtration Brownienne
    • Séminaire de Calcul Stochastique 1982-1983, Paris. Berlin Heidelberg New York: Springer
    • Chaleyat Maurel, M., Jeulin, T.: Grossissement Gaussien de la filtration Brownienne. Séminaire de Calcul Stochastique 1982-1983, Paris (Lectures Notes in Math. 1118). Berlin Heidelberg New York: Springer 1985, pp. 59-109
    • (1985) Lectures Notes in Math. , vol.1118 , pp. 59-109
    • Chaleyat Maurel, M.1    Jeulin, T.2
  • 11
    • 0002500570 scopus 로고    scopus 로고
    • Insider trading in a continuous time market model
    • A. Grorud, A., Pontier, M.: Insider trading in a continuous time market model. Int. J. Theoret. Appl. Finance. 1(3), 315-330 (1998)
    • (1998) Int. J. Theoret. Appl. Finance. , vol.1 , Issue.3 , pp. 315-330
    • Grorud, A.1    Pontier, M.2
  • 12
    • 0001776463 scopus 로고
    • Grossissement initial, hypothèse H' et théorème de Girsanov
    • Séminaire de Calcul Stochastique 1982-1983, Paris. Berlin Heidelberg New York: Springer
    • Jacod, J.: Grossissement initial, hypothèse H' et théorème de Girsanov. Séminaire de Calcul Stochastique 1982-1983, Paris (Lectures Notes in Math. 1118). Berlin Heidelberg New York: Springer 1985, pp. 15-35
    • (1985) Lectures Notes in Math. , vol.1118 , pp. 15-35
    • Jacod, J.1
  • 13
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, A.S.: Continuous auctions and insider trading. Econometrica 53, 1315-1335 (1985)
    • (1985) Econometrica , vol.53 , pp. 1315-1335
    • Kyle, A.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.