## Optimal Linear Investment Strategies for Stackleberg Leader in a Rational Expectations Model of a Speculative Market |

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### Contents

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THE MAPPING FROM THE INSIDERS STRATEGY SPACE TO | 10 |

2Q0 InttoductiomﬁlQOQOOOOOUOIOQOQOIOIOOIOOOOOQIQOOOO 201 mcriptinIOOOOQIQ OOOOOQOIOQOIOOOQOOOIQOO 202 slut1n... | 26 |

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### Common terms and phrases

abnormal profits Al0a Al0b AlOa assume assumption bounded Chapter Four coefficients compact set comparative statics competitive constant Corollary cyclers d2og Define derivative effect efficiency equal equation equilibrium price exists expected profit expected utility fully revealing futures market given identical implies increase insider demand insider information insider trading investment Jensen's inequality Lemma market price model of Chapter negative nonlinear nonzero normally distributed optimal linear strategy optimal strategy optimal value optimum outsiders parameters perfect information period's price prediction price function price taker price-taking private information Proof Pt+1 random variables rational expectations equilibrium regression Regulation Three restrictions risk averse risk neutral insider risky asset Section sequence speculative market strategies with Y1 suboptimal supply term Theorem thesis tion utility function variance variance-covariance matrix vector Walrasian auctioneer white noise yields zero strategy