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Asset Pricing Implications of Pareto Optimality with Private Information
Private Information Pareto Optimality
2015/7/23
We compare the empirical performance of a standard incomplete
markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models’ stochastic d...
Private Information in an Auction‑Like Securities Market
Private Information Auction Securities Market
2015/7/21
Private Information in an Auction‑Like Securities Market.
Self-Enforcing Trade Agreements and Private Information
Trade Agreements Private Information
2015/7/15
This paper considers self-enforcing trade agreements among privately informed governments.A trade agreement that uses weak bindings (i.e., maximal tari§ levels) is shown to o§er advantages relative to...
Efficiency in Games With Markovian Private Information
Repeated Bayesian games efficiency Markov chains
2014/9/10
We study repeated Bayesian games with communication and observable actions in which the players' privately known payoffs evolve according to an irreducible Markov chain whose transitions are independe...
Decentralized Trading with Private Information
Decentralized Trading Private Information asset prices
2014/3/18
The paper studies how asset prices are determined in a decentralized market with asymmetric information about the assets' value. We consider an economy in which a large number of agents trade two asse...