What if we knew what the future brings? Optimal investment for a frontrunner with price impact
From MaRDI portal
Publication:2156348
DOI10.1007/s00245-022-09885-wzbMath1497.91271arXiv2108.04291OpenAlexW4286632104MaRDI QIDQ2156348
Yan Dolinsky, Miklós Rásonyi, Peter Bank
Publication date: 18 July 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.04291
price impactinside informationoptimal investmentexponential utilityGaussian Volterra integral equation
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal portfolio liquidation with additional information
- Equilibrium model with default and dynamic insider information
- Dynamic Markov bridges motivated by models of insider trading
- A monetary value for initial information in portfolio optimization
- Financial equilibrium with asymmetric information and random horizon
- Additional logarithmic utility of an insider
- Hedging, arbitrage and optimality with superlinear frictions
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Representation of Gaussian processes equivalent to Wiener process
- On an Optimal Stopping Problem of an Insider
- Stochastic Optimal Control in Infinite Dimension
- Optimal Basket Liquidation for CARA Investors is Deterministic
- Continuous Auctions and Insider Trading
- Anticipative portfolio optimization
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Stochastic Control with Delayed Information and Related Nonlinear Master Equation
- Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost
- INSIDER TRADING WITH TEMPORARY PRICE IMPACT
- Pathwise Stochastic Control Problems and Stochastic HJB Equations
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
