Uncertainty and inside information

DOI10.3934/JDG.2016001MaRDI QIDQ261231zbMATH OpenOpenAlexFDO

Authors Ioannis D. Baltas, Athanasios Yannacopoulos

Publication date 23 March 2016

Published in Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jdg.2016001

zbMATH Keywords

robust optimizationstochastic differential gamesBellman-Isaacs equationinside informationportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3907486 (Why is no real title available?)
• scientific article; zbMATH DE number 3637052 (Why is no real title available?)
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• A discussion of parameter and model uncertainty in insurance
• Anticipative portfolio optimization
• Controlled Markov processes and viscosity solutions
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Mathematical methods for financial markets.
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal consumption and portfolio for an insider in a market with jumps
• Optimal investment and reinsurance policies in insurance markets under the effect of inside information
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Robust consumption and portfolio choice for time varying investment opportunities
• Robust consumption-investment problems with random market coefficients
• Robust control and recursive utility
• Robust portfolio choice with stochastic interest rates
• Semi-martingales et grossissement d'une filtration
• Worst-case scenario investment for insurers

Cited in

(13)

• Optimal investment with inside information and parameter uncertainty
• On the grey Baker-Thompson rule
• Production control problem with semi-Markov jump under stochastic demands and deteriorating inventories
• Robust utility maximization of terminal wealth with drift and volatility uncertainty
• Robust portfolio decisions for financial institutions
• Optimal investment in a general stochastic factor framework under model uncertainty
• Pricing and hedging in incomplete markets with model uncertainty
• Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
• Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
• Coordinating a supply chain with demand information updating
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
• Optimal pension fund management under risk and uncertainty: the case study of Poland
• Robust control of parabolic stochastic partial differential equations under model uncertainty

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