Laurila, Hannu; Ilomäki, Jukka - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...