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

DOI10.1142/S0219024905003025zbMATH Open1152.91508MaRDI QIDQ3023916FDOQ3023916

Authors: Christian-Oliver Ewald 

Publication date: 6 July 2005

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

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zbMATH Keywords

Malliavin calculusportfolio optimizationinsider tradinganalysis on Wiener space

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Anticipative portfolio optimization
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• An introduction to analysis on Wiener space
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus

Cited In (12)

• Logarithmic utility maximization for insiders in progressively enlarged filtrations
• Optimal Smooth Portfolio Selection for an Insider
• 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
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• 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
• Title not available (Why is that?)
• Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model

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