Optimal portfolios in a competing-insiders market: An anticipative stochastic differential game model

A stochastic differential game with the anticipative strategy sets is used to model a competition of two heterogeneously informed agents in a financial market. We interpret Nash-equilibria by a preference-suppressed measure where the agents of using a general utility function act as if they were logarithmic utility user. We derive necessary and sufficient criteria for the existence of Nash-equilibria and characterize them for various levels of information asymmetry. Furthermore we study how far the asymmetry in the level of information influences Nash-equilibria and general welfare in the case of logarithmic utility in which the closed form Nash-equilibria are obtainable.