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Strategic Informed Trading and the Value of Private Information
In the price-impact equilibrium the insider strategically reveals a noisier (compared to when the insider takes prices as given) signal, and prices are less reactive to the publicly available information.
Optimal Investment and Equilibrium Pricing under Ambiguity
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution.
Competition in Fund Management and Forward Relative Performance Criteria
An important by-product of the work herein is the development of forward performance criteria for investment problems in Ito-diffusion markets under the presence of correlated random endowment process for both the perfectly and the incomplete market cases.
Price Impact Under Heterogeneous Beliefs and Restricted Participation
The latter heterogeneity regarding covariance matrix disagreement is essential in modelling; for instance, when traders agree on the covariance matrix, restricting participation in some securities for some traders leaves equilibrium prices unaltered in the unrestricted securities, a certainly undesirable model effect.
