Optimal Smooth Portfolio Selection for an Insider

DOI10.1239/JAP/1189717542MaRDI QIDQ5440646zbMATH OpenOpenAlexFDO

Authors Yaozhong Hu, B. Øksendal

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717542

zbMATH Keywords

enlargement of filtrationinformation flowinsider tradinglog utilityoptimal portfolio

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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Cites work

• A general stochastic calculus approach to insider trading
• Additional logarithmic utility of an insider
• Anticipative portfolio optimization
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Contractual restrictions on insider trading: A welfare analysis
• Forward, backward and symmetric stochastic integration
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• scientific article; zbMATH DE number 3637052 (Why is no real title available?)
• scientific article; zbMATH DE number 1827979 (Why is no real title available?)
• Public Disclosure and Dissimulation of Insider Trades
• Stochastic calculus with respect to continuous finite quadratic variation processes

Cited in

(11)

• Bond prices under information asymmetry and a short rate with instantaneous feedback
• Information on jump sizes and hedging
• Informed traders' hedging with news arrivals
• An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend
• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
• White noise calculus in applications to stochastic equations in Hilbert spaces
• Optimal investment and risk control for an insurer under inside information
• Optimal portfolio for an insider in a market driven by Lévy processes§
• A White Noise Approach to Insider Trading
• Mean-variance asset-liability management with inside information
• Optimal portfolios with anticipating information on the stochastic interest rate

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