The financial value of a weak information on a financial market

DOI10.1007/s00780-003-0116-1zbMath1064.60082OpenAlexW4299957143MaRDI QIDQ1776011

Laurent Nguyen-Ngoc, Fabrice Baudoin

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0116-1

zbMATH Keywords

portfolio optimizationfinancial value of an anticipationminimal Markov modelsweak information

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Utility theory (91B16) Martingales with continuous parameter (60G44) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Related Items (6)

Optimal investment with inside information and parameter uncertainty ⋮ Informational inefficiency in financial markets ⋮ Lévy random bridges and the modelling of financial information ⋮ The financial value of knowing the distribution of stock prices in discrete market models ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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