From the 1 of 4 linked papers with an AI index.
4 papers
Existence and convergence of discrete-time Kyle models with multiple insiders
Jin Choi, Kasper Larsen
The paper extends a discrete-time Kyle model to include multiple insiders with different time-preference rates but the same risk aversion, and derives conditions under which a Radn…
Mandatory Disclosure in Oligopolistic Market Making
Seongjin Kim, Jin Hyuk Choi
We develop a multi-period Kyle-type model that incorporates both mandatory disclosure of informed trades and imperfect competition among market makers. We prove the existence and u…
Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
Tae Ung Gang, Jin Hyuk Choi
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arX…
Radner equilibrium with population growth
Jin Hyuk Choi, Kim Weston
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Pois…