A market model with medium/long-term effects due to an insider

DOI10.1080/14697688.2012.695084MaRDI QIDQ5746774zbMATH OpenOpenAlexFDO

Authors Hiroaki Hata, Arturo Kohatsu-Higa

Publication date 8 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.695084

zbMATH Keywords

agent based modellinginsider tradingliquidity modellingmarket microstructureportfolio analysisstochastic differential equations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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Cites work

• A model of optimal portfolio selection under liquidity risk and price impact
• Additional utility of insiders with imperfect dynamical information
• Anticipative portfolio optimization
• FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Market volatility and feedback effects from dynamic hedging
• Optimal consumption choices for a `large' investor
• Random times at which insiders can have free lunches
• Semi-martingales et grossissement d'une filtration
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET

Cited in

(7)

• Risk-sensitive portfolio optimization problem for a large trader with inside information
• Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
• The insider-outsider model reexamined
• Optimal investment and risk control for an insurer with partial information in an anticipating environment
• Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
• A Large Trader-Insider Model
• The insider trading problem in a jump-binomial model

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