کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
480067 | 1446072 | 2012 | 9 صفحه PDF | دانلود رایگان |

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.
Journal: European Journal of Operational Research - Volume 221, Issue 3, 16 September 2012, Pages 584–592