Anticipative portfolio optimization
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(96)- Further results on some singular linear stochastic differential equations
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Arbitrage and utility maximization in market models with an insider
- The value of foresight
- Arbitrage without borrowing or short selling?
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Additional logarithmic utility of an insider
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Utility maximizing entropy and the second law of thermodynamics.
- A mispricing model of stocks under asymmetric information
- Optimal investment with inside information and parameter uncertainty
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- Log-optimal and numéraire portfolios for market models stopped at a random time
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
- The value of knowing the market price of risk
- Liquidity drops
- No-arbitrage under additional information for thin semimartingale models
- The value of informational arbitrage
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Kyle equilibrium under random price pressure
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- No-arbitrage up to random horizon for quasi-left-continuous models
- Optimal consumption and portfolio choice with ambiguity and anticipation
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- Optimal portfolio liquidation with additional information
- Comparison of insiders' optimal strategies depending on the type of side-information
- Uncertainty and inside information
- A white noise approach to optimal insider control of systems with delay
- Robust optimal investment and reinsurance for an insurer with inside information
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
- A jump model for fads in asset prices under asymmetric information
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Modeling of financial markets with inside information in continuous time
- A discontinuous mispricing model under asymmetric information
- The value of insight
- Optimal investment and risk control for an insurer under inside information
- Studying anticipation on financial markets by BSDE
- Anticipative LQG Control
- ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
- Maximum likelihood estimation in Skorohod stochastic differential equations
- Relative and discrete utility maximising entropy
- Stock market insider trading in continuous time with imperfect dynamic information
- Insider Trading in a Continuous Time Market Model
- Aspects concerning entropy and utility
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- Empirical Performance and Asset Pricing in Hidden Markov Models
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Portfolio Optimization Using Forward-Looking Information*
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- A simple comparison between Skorokhod \& Russo-Vallois integration for insider trading
- A stochastic delay financial model
- Optimization of Utility for “Larger Investor” with Anticipation
- Should commodity investors follow commodities' prices?
- Model-independent pricing with insider information: a Skorokhod embedding approach
- Merton's optimal investment problem with jump signals
- Expected utility maximization for an insurer with investment and risk control under inside information
- Short communication: Chances for the honest in honest versus insider trading
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Viable insider markets
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Studying anticipation on financial markets via BSDEs with random terminal time
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Pricing rules under asymmetric information
- Change of filtrations and mean–variance hedging
- Optimal Smooth Portfolio Selection for an Insider
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Insider Trading in Convergent Markets
- Some results on quadratic hedging with insider trading
- Optimal Utility with Some Additional Information
- A market model with medium/long-term effects due to an insider
- Monotone utility convergence
- Expansion of a filtration with a stochastic process: the information drift
- On stochastic calculus related to financial assets without semimartingales
- Insider models with finite utility in markets with jumps
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Anticipative information in a Brownian-Poisson market
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Mean-variance asset-liability management with inside information
- Short communication: the price of information
- A model specification test for nonlinear stochastic diffusions with delay
- On the semimartingale property via bounded logarithmic utility
- Dynamic equilibrium with insider information and general uninformed agent utility
- HJB equation for maximization of wealth under insider trading
- Optimal investment with insider information using Skorokhod \& Russo-Vallois integration
- Optimal portfolios with anticipating information on the stochastic interest rate
- Equilibrium with heterogeneous information flows
- The value of insider information for super-replication with quadratic transaction costs
- Optimal reinsurance-investment problem for the insurer and reinsurer with asymmetric information in principal-agent model
- A Donsker delta functional approach to optimal insider control and applications to finance
- Asymmetric information in fads models
- Enlargement of filtrations with random times for processes with jumps
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