15 citations · 17 across the 10 of their papers we have counts for
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q-fin.MF2015
Radner equilibrium in incomplete Levy models
Kasper Larsen, Tanawit Sae Sue
We construct continuous-time equilibrium models based on a finite number of exponential utility investors. The investors' income rates as well as the stock's dividend rate are gove…
q-fin.TR2015
Information and Trading Targets in a Dynamic Market Equilibrium
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow d…