2021
DOI: 10.48550/arxiv.2111.01957
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Multidimensional Kyle-Back model with a risk averse informed trader

Abstract: We study the continuous time Kyle-Back model with a risk averse informed trader. We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

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