What if we knew what the future brings? Optimal investment for a frontrunner with price impact (Q2156348): Difference between revisions

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+A monetary value for initial information in portfolio optimization
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+Additional logarithmic utility of an insider
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+Optimal portfolio liquidation with additional information
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+The Shannon information of filtrations and the additional logarithmic utility of insiders
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+Information in Securities Markets: Kyle Meets Glosten and Milgrom
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+INSIDER TRADING WITH TEMPORARY PRICE IMPACT
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+On an Optimal Stopping Problem of an Insider
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+Pathwise Stochastic Control Problems and Stochastic HJB Equations
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+Equilibrium model with default and dynamic insider information
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+Dynamic Markov bridges motivated by models of insider trading
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+Stochastic Optimal Control in Infinite Dimension
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+Q5332396
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+Hedging, arbitrage and optimality with superlinear frictions
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+Q3136462
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+Representation of Gaussian processes equivalent to Wiener process
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+Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
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+On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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+Continuous Auctions and Insider Trading
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+Q4114574
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+Anticipative portfolio optimization
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+Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
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+Stochastic Control with Delayed Information and Related Nonlinear Master Equation
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+Financial equilibrium with asymmetric information and random horizon
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