Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation

DOI10.1016/J.JEDC.2022.104375MaRDI QIDQ2168144zbMATH OpenOpenAlexFDO

Authors Jérôme Detemple, Marcel Rindisbacher, Scott Robertson

Publication date 31 August 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104375

zbMATH Keywords

diffusionsheterogenous informationrational expectations equilibriumregulationwelfare

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Additional logarithmic utility of an insider
• Anticipative portfolio optimization
• Dynamic exponential utility indifference valuation
• Dynamic noisy rational expectations equilibrium with insider information
• On the Welfare Analysis of Rational Expectations Equilibria with Asymmetric Information
• Pricing in an equilibrium based model for a large investor
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• Regulating Insider Trading When Investment Matters *

Cited in

(3)

• Additional utility of insiders with imperfect dynamical information
• Dynamic noisy rational expectations equilibrium with insider information
• Dynamic equilibrium with insider information and general uninformed agent utility

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