Weak Insider Trading and Behavioral Finance

DOI10.1137/110824693MaRDI QIDQ4902212zbMATH OpenOpenAlexFDO

Authors Luciano Campi, Matteo Del Vigna

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110824693

zbMATH Keywords

behavioral financeinsider tradingloss aversionminimal probability measureprobability distortionweak informationYaari's dual theory of choice

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(7)

• Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
• Skorohod's representation theorem and optimal strategies for markets with frictions
• Optimal portfolio choice for a behavioural investor in continuous-time markets
• Non-concave utility maximisation on the positive real axis in discrete time
• Insiders and Their Free Lunches: The Role of Short Positions
• Existence of solutions in non-convex dynamic programming and optimal investment
• On optimal investment for a behavioral investor in multiperiod incomplete market models

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