Dynamic equilibrium with insider information and general uninformed agent utility
研究连续时间经济中，知情者拥有私人信号、不知情者具有一般效用函数时的动态均衡，提出部分沟通均衡存在性证明，并分析不知情者初始持股的影响。
Abstract We study a continuous time economy where agents have asymmetric information. The informed agent (“”), at time zero, receives a private signal about the risky assets' terminal payoff , while the uninformed agent (“”) has no private signal. is an arbitrary payoff function, and follows a time‐homogeneous diffusion. Crucially, we allow to have von Neumann–Morgenstern preferences with a general utility function on satisfying the standard conditions. This extends previous constructions of equilibria with asymmetric information used when all agents have exponential utilities and enables us to study the impact of U 's initial share endowment on equilibrium. To allow for to have general preferences, we introduce a new method to prove existence of a partial communication equilibrium (PCE), where at time 0, receives a less‐informative signal than . In the single asset case, this signal is recoverable by viewing the equilibrium price process over an arbitrarily short period of time, and hence the PCE is a dynamic noisy rational expectations equilibrium. Lastly, when has power (constant relative risk aversion) utility, we identify the equilibrium price in the small and large risk aversion limits.