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Solvability of the Gaussian Kyle model with imperfect information and risk aversion

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  • Reda Chhaibi
  • Ibrahim Ekren
  • Eunjung Noh

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.

Suggested Citation

  • Reda Chhaibi & Ibrahim Ekren & Eunjung Noh, 2025. "Solvability of the Gaussian Kyle model with imperfect information and risk aversion," Papers 2501.16488, arXiv.org.
    • Handle: RePEc:arx:papers:2501.16488
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    References listed on IDEAS

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    1. Christoph Kuhn & Christopher Lorenz, 2023. "Insider trading in discrete time Kyle games," Papers 2312.00904, arXiv.org, revised Jul 2024.
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    8. repec:dau:papers:123456789/4436 is not listed on IDEAS
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    Full references (including those not matched with items on IDEAS)

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