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arXiv · 2111.01957

Multidimensional Kyle-Back model with a risk averse informed trader

Shreya Bose·Ibrahim Ekren
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Abstract

We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

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Shreya Bose, Ibrahim Ekren. 2021-11-03. Multidimensional Kyle-Back model with a risk averse informed trader. https://arxiv.org/abs/2111.01957

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