Date Added: Jan 2011
The authors extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean - reverting Ornstein - Uhlenbeck process. Optimal portfolios and maximum expected log - linear utilities from terminal wealth for informed and uninformed investors are derived. They obtain analogous but more general results which nests those of Guasoni (2006) as a special case of the relative risk aversion approaching one.