OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET

DOI10.1142/S0219024905003025MaRDI QIDQ3023916zbMATH OpenFDO

Authors Christian-Oliver Ewald

Publication date 6 July 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024905003025

zbMATH Keywords

analysis on Wiener spaceinsider tradingMalliavin calculusportfolio optimization

Mathematics Subject Classification ID

Utility theory (91B16)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• An introduction to analysis on Wiener space
• Anticipative portfolio optimization
• Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Cited in

(15)

• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• The Malliavin gradient method for the calibration of stochastic dynamical models
• An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend
• Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
• scientific article; zbMATH DE number 5309885 (Why is no real title available?)
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Logarithmic utility maximization for insiders in progressively enlarged filtrations
• Short communication: Chances for the honest in honest versus insider trading
• Insiders' hedging in a stochastic volatility model
• Optimal Smooth Portfolio Selection for an Insider
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
• Optimal portfolio for an insider in a market driven by Lévy processes§
• A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
• A White Noise Approach to Insider Trading

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