Portfolio selection and asset pricing under asymmetric information = 투자 선택문제와 정보의 비대칭이 있을 때의 자산 가격결정에 관한 연구

In this dissertation, there are two main topics: optimal portfolio selection problem with constraints and asset pricing under asymmetric information. The portfolio selection problem is a utility maximization problem which plays an important role to get an equilibrium price. The intertemporal consumption and portfolio selection problems with constraints are considered in a continuous time. For the general utility function, subsistence constraints which represent the least living cost and liquidity constraints which prevent borrowing against future income are investigated with and without retirement option. The closed-form solutions and explicit optimal policies are obtained and we analyze our results for the special utility function, CRRA utility function. In the second chapter, continuous market microstructure models in which there exist three types of traders (an insider, market makers, and liquidity traders) are introduced. Two main considerations are risk averseness of the market participants and competition between market makers. When the market makers are competitive, not only the value functions for the insider but also the market depth is obtained explicitly. The risk averseness of the insider leads to the time varying market depth. In the case of oligopolistic market makers, however, the market depth depends on the behavior of market makers. Furthermore some part of the excess volatility can be explained by the oligopolistic market makers.
Advisors
Choi, U-Jinresearcher최우진researcher
Publisher
한국과학기술원
Issue Date
2009
Identifier
309282/325007  / 020047488
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수리과학과, 2009.2, [ vii, 82 p. ]

Keywords

Portfolio selection; Retirement; Constraints; Asset pricing; Insider trading; 투자 선택; 은퇴; 제약조건들; 자산 가격 결정; 내부자 거래; Portfolio selection; Retirement; Constraints; Asset pricing; Insider trading; 투자 선택; 은퇴; 제약조건들; 자산 가격 결정; 내부자 거래

URI
http://hdl.handle.net/10203/41918
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=309282&flag=t
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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