کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480067 1446072 2012 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A mispricing model of stocks under asymmetric information
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
A mispricing model of stocks under asymmetric information
چکیده انگلیسی

We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean-reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log-linear utilities from terminal wealth for informed and uninformed investors are derived. We obtain analogous but more general results which nests those of Guasoni (2006) as a special case of the relative risk aversion approaching one.


► We extend the theory of asymmetric information in mispricing models.
► Stock prices follows geometric Brownian motion.
► Mispricing follows a continuous mean-reverting Ornstein–Uhlenbeck process.
► Informed and uninformed investors have constant relative risk averse preferences.
► Optimal portfolios and maximum expected log-linear utilities are derived.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 221, Issue 3, 16 September 2012, Pages 584–592
نویسندگان
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