A mispricing model of stocks under asymmetric information
نویسندگان
چکیده
منابع مشابه
A mispricing model of stocks under asymmetric information
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 g...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2012
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2012.03.026