A discontinuous mispricing model under asymmetric information
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Cites work
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- A jump model for fads in asset prices under asymmetric information
- A jump-diffusion model for option pricing
- A mispricing model of stocks under asymmetric information
- A monetary value for initial information in portfolio optimization
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- Additional logarithmic utility of an insider
- Anticipative portfolio optimization
- Asymmetric information in fads models
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- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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- The Shannon information of filtrations and the additional logarithmic utility of insiders
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Cited in
(10)- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Modelling fundamental analysis in portfolio selection
- It takes all sorts: a heterogeneous agent explanation for prediction market mispricing
- EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
- A mispricing model of stocks under asymmetric information
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- Asymmetric information in fads models
- m-Double Poisson Lévy markets
- A jump model for fads in asset prices under asymmetric information
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