Insider models with finite utility in markets with jumps

DOI10.1007/S00245-011-9137-XMaRDI QIDQ649119zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, Makoto Yamazato

Publication date 30 November 2011

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-011-9137-x

zbMATH Keywords

enlargement of filtrationsasymmetric marketsmarkets driven by Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Recommendations

• Optimal portfolio for an insider in a market driven by Lévy processes§
• Insider problems for markets driven by Lévy processes
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• scientific article; zbMATH DE number 2058904
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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1304731 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• A complete explicit solution to the log-optimal portfolio problem.
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• Additional logarithmic utility of an insider
• Additional utility of insiders with imperfect dynamical information
• Anticipative portfolio optimization
• Enlargement of filtrations with random times for processes with jumps
• Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
• Financial Modelling with Jump Processes
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Insider Trading in a Continuous Time Market Model
• Lévy Processes and Stochastic Calculus
• Optimal investment in a Lévy market
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Optimal portfolios for logarithmic utility.
• Random times at which insiders can have free lunches
• The mathematics of arbitrage

Cited in

(21)

• Enlargement of filtrations with random times for processes with jumps
• Optimal investment and risk control for an insurer under inside information
• Log-optimal and numéraire portfolios for market models stopped at a random time
• The insider-outsider model reexamined
• Risk-sensitive portfolio optimization problem for a large trader with inside information
• Insider problems for markets driven by Lévy processes
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• Models for Insider Trading with Finite Utility
• scientific article; zbMATH DE number 2058904 (Why is no real title available?)
• A market model with medium/long-term effects due to an insider
• Optimal consumption and portfolio for an insider in a market with jumps
• A minimizing shortfall risk strategy for an insider
• Additional utility of insiders with imperfect dynamical information
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Optimal utility with side information and its affect
• The value of insight
• The insider trading problem in a jump-binomial model
• Portfolio optimization with insider's initial information and counterparty risk
• Arbitrage and utility maximization in market models with an insider
• Mean-variance asset-liability management with inside information

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