The investment boundaries defined by Grenadier (2002) for an oligopoly investment game determine equilibria in open-loop strategies. As closed-loop strategies, they are not equilibria, because any firm by investing sooner can preempt the investments of other firms and expropriate the growth...

In an extension of the Kyle (1985) model of continuous insider trading, it is shown that asymmetric information can make it impossible to price options by arbitrage. Even when an option would appear to be redundant, its introduction into the market can cause the volatility of the underlying...

The continuous-time version of A. Kyle's (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium pricing rule within a certain class. This pricing rule is obtained in closed form for general distributions of the asset value. A...

Portfolio turnpike theorems show that if preferences at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy as the horizon increases. We state and prove two simple and general portfolio turnpike theorems. Unlike existing...

We compare a sealed-bid uniform-price auction (the Treasury's experimental format) with a sealed bid discriminatory auction (the Treasury's format heretofore), assuming the good is perfectly divisible. We show that the auction theory that prompted the experiment, which assumes single-unit...