Dynamic Noisy Rational Expectations Equilibrium With Insider Information
研究了多资产多代理人连续时间经济中，存在信息不对称和有界理性噪声交易者时的均衡，发现了两种均衡：完全沟通均衡和部分沟通均衡，后者中信息不对称导致对两只公共基金和暗池的需求，市场内生完备且收益呈三因子结构。
We study equilibria in multi‐asset and multi‐agent continuous‐time economies with asymmetric information and bounded rational noise traders. We establish the existence of two equilibria. First, a full communication equilibrium where the informed agents' signal is disclosed to the market and static policies are optimal. Second, a partial communication equilibrium where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure with stochastic factors and loadings. Results are valid for constant absolute risk averse investors, general vector diffusions for fundamentals, nonlinear terminal payoffs, and non‐Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.