登入選單

返回Google圖書搜尋

Optimal Incomplete Markets with Asymmetric Information

Rohit Rahi

出版	SSRN, 1999
URL	http://books.google.com.hk/books?id=V73ozgEACAAJ&hl=&source=gbs_api

註釋

This paper analyzes a simple parametric model of endogenously determined incomplete futures markets, focusing on their role in allocating risk and transmitting private information. It characterizes market structures that are constrained efficient in the sense that no other market structure, with the same number of assets, leads to a Pareto-dominating allocation in equilibrium. Necessary conditions for constrained efficiency are (a) hedging efficiency (the hedging quality of futures contracts cannot be improved for one agent without reducing it for another, and (b) informational efficiency (the informational content of futures prices cannot be increased for one agent without diminishing it for another). Explicit characterizations are obtained for these notions of efficiency. It is shown that, under certain conditions, the market structure determined by volume-maximizing futures is informationally efficient and, in the case of a single futures contract, hedging-efficient as well.