Insider information and its relation with the arbitrage condition and the utility maximization problem
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Publication:2045757
DOI10.3934/mbe.2020053zbMath1470.91238arXiv1909.03430OpenAlexW3105233406WikidataQ90792361 ScholiaQ90792361MaRDI QIDQ2045757
José Antonio Salmerón, Bernardo D'auria
Publication date: 13 August 2021
Published in: Mathematical Biosciences and Engineering (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.03430
arbitrageenlargement of filtrationoptimal portfoliorisk neutral measureno free lunch vanishing riskvalue of the information
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Cites Work
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