Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing
构建了一个简单的一般均衡资产定价模型，证明在没有噪声的情况下也能出现盈利的知情交易，并指出知情交易会降低所有参与者的福利。
We present a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. We use an equilibrium concept similar to rational expectations equilibrium, but which explicitly allows for the possibility of adverse selection. We show that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot buy the market portfolio. In this model, profitable informed trading lowers the welfare of all agents when compared across steady states. Journal of Economic Literature Classification Numbers: G14, D50, D60, D82.