摘要
针对风险喜好的内部交易者只能获知所交易风险资产清算价格的一个信号即不完全信息而无法获得该价格完全信息的情况,本文研究了相应金融内部交易的改进Kyle模型这一动态博弈模型,确定了其均衡解,分析了相关金融变量的渐近行为,并给出了这些金融变量之变化特征的经济含义.
The improved Kyle model under the incomplete information with a risk-seeking insider trader, which is an insider trading model and a dynamic game model, was stud- ied. The incomplete information means that, the insider trader only knows a signal of the fundamental value of a risky asset but not it. The unique equilibrium of this model was determined, the asymptotic behavior of some financial variables in the model was analyized, and the economic meaning of variation feature for these variables was also given.
出处
《应用数学学报》
CSCD
北大核心
2014年第2期304-312,共9页
Acta Mathematicae Applicatae Sinica
关键词
风险资产
内部交易
不完全信息
风险喜好
均衡
渐近分析
risky asset
insider trading
incomplete information
risk-seeking
equilibrium
asymptotic analysis