论文标题
具有内部信息和一般无知的代理实用程序的动态平衡
Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility
论文作者
论文摘要
我们研究代理具有不对称信息的连续时间经济。在零时，知情代理（``$ i $''）收到有关风险资产的终端回报$ψ（x_t）$的私人信号，而无知的代理（``$ u $''）没有私人信号。 $ψ$是一个任意的回报功能，$ x $遵循时间均匀的扩散。至关重要的是，我们允许$ u $拥有具有$（0，\ infty）$的通用公用事业功能的von Neumann-Morgenstern首选项，可满足标准条件。这扩展了先前的平衡结构，并在所有代理具有指数实用程序时使用的不对称信息，并使我们能够研究$ u $ u $的初始股票基金对平衡的影响。为了允许$ u $具有一般的首选项，我们引入了一种新方法来证明存在部分通信平衡（PCE），其中，在时间$ 0 $，$ u $收到的信号比$ i $少。在单一资产情况下，通过在任意短时间内查看平衡价格过程可以恢复该信号，因此PCE是动态嘈杂的合理期望平衡。最后，当$ u $具有功率（恒定的相对风险避免）实用程序时，我们确定了大小不一的风险规避限制的平衡价格。
We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $Ψ(X_T)$, while the uninformed agent (``$U$'') has no private signal. $Ψ$ is an arbitrary payoff function, and $X$ follows a time-homogeneous diffusion. Crucially, we allow $U$ to have von Neumann-Morgenstern preferences with a general utility function on $(0,\infty)$ satisfying the standard conditions. This extends previous constructions of equilibria with asymmetric information used when all agents have exponential utilities and enables us to study the impact of $U$'s initial share endowment on equilibrium. To allow for $U$ to have general preferences, we introduce a new method to prove existence of a partial communication equilibrium (PCE), where at time $0$, $U$ receives a less-informative signal than $I$. In the single asset case, this signal is recoverable by viewing the equilibrium price process over an arbitrarily short period of time, and hence the PCE is a dynamic noisy rational expectations equilibrium. Lastly, when $U$ has power (constant relative risk aversion) utility, we identify the equilibrium price in the small and large risk aversion limits.
