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- W1530059832 abstract "This chapter generalises Kyle's (1985) model to the case in which the informed trader is risk-averse. Solution methods are based on Whittle's (1990) analysis of LEQG dynamic programming problems. Risk-aversion increases the informativeness of prices and the eAEciency of the market; it also reduces its liquidity in the rst auctions of the model and increases it in the last ones. The volume of the transactions a ects the liquidity and eAEciency of the market and increases these e ects. I thank my thesis supervisor William Perraudin and participants at seminars at Cambridge University and Birkbeck College, London, for very useful discussions and comments. The Paper was prepared as part of the ESRC/Newton Trust project on Financial Econometrics (ESRC Grant no. R00023 4641). Additional nancial support from the San Paolo Bank, Italy, is gratefully acknowledged. Correspondence should be addressed to Paolo Vitale, 308 King's College, CB2 1ST, Cambridge UK (Tel. 44-1223-501298, Email: PV10000@ECON.CAM.AC.UK)." @default.
- W1530059832 created "2016-06-24" @default.
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- W1530059832 date "1995-01-01" @default.
- W1530059832 modified "2023-09-27" @default.
- W1530059832 title "Risk-Averse Traders with Inside Information." @default.
- W1530059832 hasPublicationYear "1995" @default.
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