Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study

Recommendations

The insider trading problem in a jump-binomial model
An Anticipating Calculus Approach to the Utility Maximization of an Insider
Risk-sensitive portfolio optimization problem for a large trader with inside information
A White Noise Approach to Insider Trading
Short communication: Chances for the honest in honest versus insider trading

Cites work

scientific article; zbMATH DE number 51724 (Why is no real title available?)
scientific article; zbMATH DE number 3638903 (Why is no real title available?)
scientific article; zbMATH DE number 1869203 (Why is no real title available?)
scientific article; zbMATH DE number 785439 (Why is no real title available?)
scientific article; zbMATH DE number 6137478 (Why is no real title available?)
A Donsker delta functional approach to optimal insider control and applications to finance
A closed-form solution for options with stochastic volatility with applications to bond and currency options
A theory of the term structure of interest rates
A white noise approach to optimal insider control of systems with delay
An Anticipating Calculus Approach to the Utility Maximization of an Insider
An equilibrium characterization of the term structure
Analysis, Geometry, and Modeling in Finance
Anticipative portfolio optimization
Continuous Auctions and Insider Trading
Forward, backward and symmetric stochastic integration
Introduction to stochastic integration.
Malliavin Calculus for Lévy Processes with Applications to Finance
On a stochastic integral equation
On the uniqueness of solutions of stochastic differential equations
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
Optimum consumption and portfolio rules in a continuous-time model
Pricing interest-rate-derivative securities
Stochastic calculus with anticipating integrands
Stochastic differential equations. An introduction with applications.
Stochastic integral
The pricing of options and corporate liabilities
Théorie de la spéculation.

This page was built for publication: Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6567280)