Optimal Utility with Some Additional Information

DOI10.1080/SAP-200050086MaRDI QIDQ5707903zbMATH OpenOpenAlexFDO

Authors Dewen Xiong, Zhongxing Ye

Publication date 25 November 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/sap-200050086

zbMATH Keywords

martingale methodstochastic filteringutility optimization

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• 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
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• Insider Trading in a Continuous Time Market Model
• Martingale representation theorems for initially enlarged filtrations.
• On models of default risk.
• Optimal portfolio in partially observed stochastic volatility models.
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information

Cited in

(12)

• Additive utility
• A monetary value for initial information in portfolio optimization
• The value of knowing the market price of risk
• Structure condition under initial enlargement of filtration
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Comparison of insiders' optimal strategies depending on the type of side-information
• Information and semimartingales.
• scientific article; zbMATH DE number 2091957 (Why is no real title available?)
• Optimal utility with side information and its affect
• Monotone utility convergence
• Anticipative information in a Brownian-Poisson market
• Short communication: the price of information

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