Insider information and its relation with the arbitrage condition and the utility maximization problem (Q2045757)
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scientific article
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| English | Insider information and its relation with the arbitrage condition and the utility maximization problem |
scientific article |
Statements
Insider information and its relation with the arbitrage condition and the utility maximization problem (English)
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13 August 2021
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optimal portfolio
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enlargement of filtration
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value of the information
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arbitrage
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no free lunch vanishing risk
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risk neutral measure
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0.92503417
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0.8950728
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0.87779796
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0.8762007
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0.8628173
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0.8578862
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0.85644764
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0.8551553
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