The value of insight

DOI10.1287/MOOR.2019.1028MaRDI QIDQ3387920zbMATH OpenOpenAlexFDO

Authors L. C. G. Rogers, Philip Ernst

Publication date 8 January 2021

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2019.1028

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinsider tradingjump diffusion

Mathematics Subject Classification ID

Financial markets (91G15) Optimal stochastic control (93E20)

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Cites work

• Anticipative portfolio optimization
• Enlargement of filtrations with finance in view
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• scientific article; zbMATH DE number 3653255 (Why is no real title available?)
• scientific article; zbMATH DE number 3637052 (Why is no real title available?)
• scientific article; zbMATH DE number 3638888 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• Incomplete markets with jumps and informed agents
• Models for Insider Trading with Finite Utility
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal investment
• Optimal investment in a Lévy market
• Option pricing when underlying stock returns are discontinuous
• Portfolio choice with jumps: a closed-form solution
• Power utility maximization in constrained exponential Lévy models
• Study of a filtration expanded to include an honest time
• The Bellman equation for power utility maximization with semimartingales

Cited in

(4)

• Value-Focused Brainstorming
• Merton's optimal investment problem with jump signals
• Anticipative information in a Brownian-Poisson market
• Optimal portfolios with anticipating information on the stochastic interest rate

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