Optimal Portfolios in a Competing-Insiders Market: an Anticipative Stochastic Differential Game Model
A stochastic differential game with the anticipative strategy sets is used to model a competition of two heterogeneously informed agents in a financial market. We interpret Nash-equilibria by a preference- suppressed measure where the agents of using a general utility function act as if they were logarithmic utility user. We derive necessary and sufficient criteria for the existence of Nash- equilibria and characterize them for various levels of information asymmetry. Furthermore we study how far the asymmetry in the level of information influences Nash-equilibria and general welfare in the case of logarithmic utility in which the closed form Nash-equilibria are obtainable.
utility function information financial markets stochastic differential games.
Ya-jun Xiao Christian-Oliver Ewald
Department of Economics, University of Frankfurt, Germany School of Economics and Finance, University of St. Andrews, UK
国际会议
第二届中国对策论及其应用国际学术会议(The Second International Conference on Game Theory and Applications)
青岛
英文
219-222
2007-09-17（万方平台首次上网日期，不代表论文的发表时间）