Equilibrium with heterogeneous information flows
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Cites work
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- Additional logarithmic utility of an insider
- Additional utility of insiders with imperfect dynamical information
- Anticipative portfolio optimization
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- Insider Trading without Normality
- Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
- Kyle-back models with risk aversion and non-Gaussian beliefs
- Market completion with derivative securities
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- Martingale representation theorems for initially enlarged filtrations.
- On existence and uniqueness of equilibrium in a class of noisy rational expectations models
- On the aggregation of information in competitive markets
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- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Probability-1
- Progressive filtration expansions via a process, with applications to insider trading
- Random times at which insiders can have free lunches
- Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
- Some examples and counterexamples of convergence of -algebras and filtrations
- The negative value of private information in illiquid markets
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
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