Anticipative portfolio optimization
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Publication:4332212
DOI10.2307/1428166zbMATH Open0867.90013OpenAlexW2320684320MaRDI QIDQ4332212FDOQ4332212
Authors: Igor Pikovsky, Ioannis Karatzas 
Publication date: 13 February 1997
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1428166
Recommendations
Brownian motionrelative entropystochastic control problemoptimal portfoliofinancial economicsenlargement of filtrations
Portfolio theory (91G10) Production theory, theory of the firm (91B38) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economics of information (91B44) Optimal stochastic control (93E20)
Cited In (90)
- Optimal portfolio liquidation with additional information
- Some results on quadratic hedging with insider trading
- Uncertainty and inside information
- Optimal consumption and portfolio choice with ambiguity and anticipation
- Pricing rules under asymmetric information
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Conditioned stochastic differential equations: theory, examples and application to finance.
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- Utility maximizing entropy and the second law of thermodynamics.
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Aspects concerning entropy and utility
- Optimal Smooth Portfolio Selection for an Insider
- Kyle equilibrium under random price pressure
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Liquidity drops
- A jump model for fads in asset prices under asymmetric information
- A discontinuous mispricing model under asymmetric information
- Log-optimal and numéraire portfolios for market models stopped at a random time
- Additional logarithmic utility of an insider
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Robust optimal investment and reinsurance for an insurer with inside information
- Empirical Performance and Asset Pricing in Hidden Markov Models
- Asymmetric information in fads models
- Modeling of financial markets with inside information in continuous time
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Further results on some singular linear stochastic differential equations
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- The value of knowing the market price of risk
- A Donsker delta functional approach to optimal insider control and applications to finance
- Relative and discrete utility maximising entropy
- Maximum likelihood estimation in Skorohod stochastic differential equations
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Optimal Utility with Some Additional Information
- Comparison of insiders' optimal strategies depending on the type of side-information
- Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
- Arbitrage and utility maximization in market models with an insider
- On stochastic calculus related to financial assets without semimartingales
- The value of informational arbitrage
- No-arbitrage up to random horizon for quasi-left-continuous models
- Optimal investment and risk control for an insurer under inside information
- A mispricing model of stocks under asymmetric information
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Arbitrage without borrowing or short selling?
- The value of foresight
- Insider models with finite utility in markets with jumps
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- A stochastic delay financial model
- Change of filtrations and mean–variance hedging
- Optimization of Utility for “Larger Investor” with Anticipation
- Portfolio Optimization Using Forward-Looking Information*
- Enlargement of filtrations with random times for processes with jumps
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Insider Trading in a Continuous Time Market Model
- No-arbitrage under additional information for thin semimartingale models
- Stock market insider trading in continuous time with imperfect dynamic information
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Expansion of a filtration with a stochastic process: the information drift
- On the semimartingale property via bounded logarithmic utility
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- A market model with medium/long-term effects due to an insider
- Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Optimal investment with inside information and parameter uncertainty
- Anticipative LQG Control
- Viable insider markets
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Expected utility maximization for an insurer with investment and risk control under inside information
- The value of insight
- Mean-variance asset-liability management with inside information
- Short communication: Chances for the honest in honest versus insider trading
- Short communication: the price of information
- Monotone utility convergence
- ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
- Should commodity investors follow commodities' prices?
- A model specification test for nonlinear stochastic diffusions with delay
- Studying anticipation on financial markets via BSDEs with random terminal time
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- A simple comparison between Skorokhod \& Russo-Vallois integration for insider trading
- A white noise approach to optimal insider control of systems with delay
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Dynamic equilibrium with insider information and general uninformed agent utility
- Insider Trading in Convergent Markets
- Merton's optimal investment problem with jump signals
- Model-independent pricing with insider information: a Skorokhod embedding approach
- Studying anticipation on financial markets by BSDE
- Anticipative information in a Brownian-Poisson market
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