We extend Kyle's (Kyle, 1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on the liquidation value of a number of risky assets. We confirm: i) in a multi-asset setting, Holden and Subrahmanyam's counter-intuitive result that...

Within Kyle's single auction model, we show that an ambiguity-averse insider, who is uncertain about the market maker's beliefs, implements a robust trading strategy, so that she selects as her market order that which maximizes her expected profits against those beliefs which penalize her most....