Additional logarithmic utility of an insider

DOI10.1016/S0304-4149(98)00014-3zbMath0934.91020OpenAlexW2062433814WikidataQ127203088 ScholiaQ127203088MaRDI QIDQ1805770

Peter Imkeller, Martin Schweizer, Jürgen Amendinger

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00014-3

zbMATH Keywords

entropy relative entropy utility maximization insider trading initial enlargement of filtrations security market

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (75)

Structure condition under initial enlargement of filtration ⋮ Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Martingale representation theorems for initially enlarged filtrations. ⋮ Free lunch and arbitrage possibilities in a financial market model with an insider. ⋮ Utility maximizing entropy and the second law of thermodynamics. ⋮ Merton's Optimal Investment Problem with Jump Signals ⋮ A jump model for fads in asset prices under asymmetric information ⋮ MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ A white noise approach to optimal insider control of systems with delay ⋮ A discontinuous mispricing model under asymmetric information ⋮ Gaussian random bridges and a geometric model for information equilibrium ⋮ Asymmetric information in fads models ⋮ 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 ⋮ Optimal consumption and investment strategies with partial and private information in a multi-asset setting ⋮ The exp-UIV for Markets with Partial Information and Complete Information ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Bayesian estimation of incompletely observed diffusions ⋮ Enlargement of filtration on Poisson space: a Malliavin calculus approach ⋮ Viable insider markets ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ The value of foresight ⋮ A mispricing model of stocks under asymmetric information ⋮ Arbitrage without borrowing or short selling? ⋮ Pricing and hedging in the presence of extraneous risks ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ The existence of dominating local martingale measures ⋮ Optimal investment with inside information and parameter uncertainty ⋮ The insider trading problem in a jump-binomial model ⋮ Aspects concerning entropy and utility ⋮ Trading against disorderly liquidation of a large position under asymmetric information and market impact ⋮ ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS ⋮ On stochastic calculus related to financial assets without semimartingales ⋮ Insider models with finite utility in markets with jumps ⋮ Structure Conditions under Progressively Added Information ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ Dynkin game with asymmetric information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Enlargement of filtrations with random times for processes with jumps ⋮ Some results on quadratic hedging with insider trading ⋮ FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ Optimal Utility with Some Additional Information ⋮ Liquidity drops ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Relative and Discrete Utility Maximising Entropy ⋮ Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem ⋮ Competitive market equilibrium under asymmetric information ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ Pricing rules under asymmetric information ⋮ Change of filtrations and mean–variance hedging ⋮ Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches ⋮ An Anticipating Calculus Approach to the Utility Maximization of an Insider ⋮ The Shannon information of filtrations and the additional logarithmic utility of insiders ⋮ No-arbitrage under additional information for thin semimartingale models ⋮ Optimal Smooth Portfolio Selection for an Insider ⋮ BSDEs driven by Lévy process with enlarged filtration and applications in finance ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ Information uncertainty related to marked random times and optimal investment ⋮ EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS ⋮ Should Commodity Investors Follow Commodities' Prices? ⋮ The value of informational arbitrage ⋮ Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization ⋮ Optimal insider control and semimartingale decompositions under enlargement of filtration ⋮ Successive enlargement of filtrations and application to insider information ⋮ Kyle equilibrium under random price pressure ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ Option hedging by an influential informed investor ⋮ Studying anticipation on financial markets by BSDE ⋮ Model-independent pricing with insider information: a skorokhod embedding approach ⋮ Optimal portfolio liquidation with additional information

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