In [7] we extend the asset pricing framework introduced by Guasoni [3] to the case of n + 1 Brownian motions and two agents: ”informed agent” and ”partially informed agent”. In this paper we examine a model of a financial market with n Brownian motions and four agents: informed agent with access to all information, uninformed agent with access to minimum information, and two partially informed agents with access to partial information that are not necessarily comparable to each other. We examine the information of each agents using Hitsuda representation [4]. In theorem 21 we compare the logarithmic utility functions of the agents. The present framework can be extended to the case with further partially informed agents. For both cases the results for the logarithmic utility functions are similar.

The Logarithmic Utility Functions of the Partially Informed Agents

ROMANO, LUIGI;SCOLOZZI, Donato
2015

Abstract

In [7] we extend the asset pricing framework introduced by Guasoni [3] to the case of n + 1 Brownian motions and two agents: ”informed agent” and ”partially informed agent”. In this paper we examine a model of a financial market with n Brownian motions and four agents: informed agent with access to all information, uninformed agent with access to minimum information, and two partially informed agents with access to partial information that are not necessarily comparable to each other. We examine the information of each agents using Hitsuda representation [4]. In theorem 21 we compare the logarithmic utility functions of the agents. The present framework can be extended to the case with further partially informed agents. For both cases the results for the logarithmic utility functions are similar.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11587/416982
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact