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)

zbMATH Keywords

Malliavin calculusportfolio optimizationinsider tradinganalysis on Wiener space

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
• A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
• Optimal portfolio for an insider in a market driven by Lévy processes§
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
• Logarithmic utility maximization for insiders in progressively enlarged filtrations
• 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?)
• The Malliavin gradient method for the calibration of stochastic dynamical models
• Optimal Smooth Portfolio Selection for an Insider
• An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend
• 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
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Insiders' hedging in a stochastic volatility model
• Short communication: Chances for the honest in honest versus insider trading

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