Solvability of the Gaussian Kyle Model With Imperfect Information and Risk Aversion

Authors

Eunjung Noh, Rollins CollegeFollow
Ibrahim Ekren
Reda Chhaibi

Document Type

Article

Publication Date

1-27-2025

Abstract

We investigate a Kyle model under Gaussian assumptions where a risk-averse informed trader has imperfect information on the fundamental price of an asset. We show that an equilibrium can be constructed by considering an optimal transport problem that is solved under a measure that renders the utility of the informed trader martingale and a filtering problem under the historical measure.

Comments

Originally published on arXiv

Published In

Chhaibi, Reda, Ekren, Ibrahim, and Eunjung Noh. “Solvability of the Gaussian Kyle Model with Imperfect Information and Risk Aversion.” arXiv (2025): 2501.16488. https://arxiv.org/abs/2501.16488v1.

Publication Title

arXiv

DOI

https://doi.org/10.48550/arXiv.2501.16488