Optimal investment with inside information and parameter uncertainty

DOI10.1007/s11579-010-0025-yzbMath1255.91446arXiv0911.3117OpenAlexW2144417223MaRDI QIDQ1932530

Yanyan Li

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3117

zbMATH Keywords

filteringenlargement of filtrationinsider tradingpartial informationoptimal investment

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (13)

Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ Optimal consumption and investment strategies with partial and private information in a multi-asset setting ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Arbitrage and utility maximization in market models with an insider ⋮ PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS ⋮ The value of knowing the market price of risk ⋮ Unnamed Item ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ The value of informational arbitrage ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ Dynamic credit quality evaluation with social network data

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