The Sale of Multiple Assets with Private Information
将Leland和Pyle（1977）模型推广到多相关资产情形，研究金融中介在信息不对称下出售资产时的信号传递与对冲行为，发现资产组合越分散，出售时流动性越高（价格影响越小），并讨论了银行贷款出售等应用。
By generalizing the Leland and Pyle (1977) model to the case of multiple correlated assets, this paper studies the signaling and hedging behavior of an intermediary who sells multiple assets in financial markets. Based on information asymmetry, this paper demonstrates the intrinsic interdependence of risk management and asset selling for intermediaries, and obtains several testable empirical implications. For instance, an intermediary with a more diversified underlying portfolio will face greater liquidity (a smaller price impact) when selling assets to the market. Several applications are discussed, including bank loan sales and selling mechanisms. Financial intermediaries manage and trade large portfolios of assets. For in-stance, Fannie Mae, a leading firm in the Mortgage Backed Securities (MBS) industry, issued 32 Fannie Mae MBS pools on 1 November 2004.1 Meanwhile, active risk management is becoming increasingly important for financial inter-mediaries,2 possibly due to the longterm capital management crisis in the fall of 1998. Motivated by these facts, this paper generalizes the Leland and Pyle (1977,