Solvability of the Gaussian Kyle model with imperfect information and risk aversion
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866910802268651520 |
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| author | Chhaibi, Reda Ekren, Ibrahim Noh, Eunjung |
| author_facet | Chhaibi, Reda Ekren, Ibrahim Noh, Eunjung |
| contents | We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport problem that is solved under a measure that renders the utility of the informed trader martingale and a filtering problem under the historical measure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_16488 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Solvability of the Gaussian Kyle model with imperfect information and risk aversion Chhaibi, Reda Ekren, Ibrahim Noh, Eunjung Trading and Market Microstructure Probability Mathematical Finance We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport problem that is solved under a measure that renders the utility of the informed trader martingale and a filtering problem under the historical measure. |
| title | Solvability of the Gaussian Kyle model with imperfect information and risk aversion |
| topic | Trading and Market Microstructure Probability Mathematical Finance |
| url | https://arxiv.org/abs/2501.16488 |