The value of informational arbitrage
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Publication:2308171
DOI10.1007/s00780-020-00418-3zbMath1433.91151arXiv1804.00442OpenAlexW3006350087MaRDI QIDQ2308171
Claudio Fontana, Andrea Cosso, Huy N. Chau
Publication date: 25 March 2020
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.00442
Martingales with continuous parameter (60G44) Economics of information (91B44) Portfolio theory (91G10)
Related Items
Filtration shrinkage, the structure of deflators, and failure of market completeness, The value of knowing the market price of risk, Insider information and its relation with the arbitrage condition and the utility maximization problem
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