Economy – Quantitative Finance – General Finance
Scientific paper
2011-01-06
Economy
Quantitative Finance
General Finance
Scientific paper
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.
Brown Garfield
Buckley Winston
Marshall Mario
No associations
LandOfFree
A Mispricing Model of Stocks Under Asymmetric Information does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with A Mispricing Model of Stocks Under Asymmetric Information, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Mispricing Model of Stocks Under Asymmetric Information will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-398913