Comparison of insiders' optimal strategies depending on the type of side-information
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Publication:2568298
DOI10.1016/j.spa.2005.05.005zbMath1077.60049OpenAlexW1986477933MaRDI QIDQ2568298
Publication date: 10 October 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.05.005
SimulationRisk neutral probability measure and minimal probability measureStrong and weak information
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (4)
Insiders and Their Free Lunches: The Role of Short Positions ⋮ Optimal investment with inside information and parameter uncertainty ⋮ INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES ⋮ Optimal portfolio liquidation with additional information
Cites Work
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- Semi-martingales et grossissement d'une filtration
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- A monetary value for initial information in portfolio optimization
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Additional utility of insiders with imperfect dynamical information
- Additional logarithmic utility of an insider
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- Incomplete markets with jumps and informed agents
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Insider Trading in a Continuous Time Market Model
- Anticipative portfolio optimization
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Random times at which insiders can have free lunches
- EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
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