Insider information and its relation with the arbitrage condition and the utility maximization problem

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

zbMATH Keywords

arbitrageenlargement of filtrationoptimal portfoliorisk neutral measureno free lunch vanishing riskvalue of the information

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Special issue: Advances in stochastic processes and applications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• On arbitrages arising with honest times
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• A general version of the fundamental theorem of asset pricing
• A monetary value for initial information in portfolio optimization
• Arbitrage and utility maximization in market models with an insider
• Conditioned stochastic differential equations: theory, examples and application to finance.
• The financial value of a weak information on a financial market
• Additional logarithmic utility of an insider
• Two inequalities for differentiable mappings and applications to special means of real numbers and to trapezoidal formula
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• The value of informational arbitrage
• On the characterisation of honest times that avoid all stopping times
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• A general stochastic calculus approach to insider trading
• The mathematics of arbitrage
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Nouveaux résultats sur le grossissement des tribus
• Enlargement of Filtration with Finance in View
• Insider Trading in a Continuous Time Market Model
• Anticipative portfolio optimization
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• Random times at which insiders can have free lunches
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

This page was built for publication: Insider information and its relation with the arbitrage condition and the utility maximization problem