The financial value of knowing the distribution of stock prices in discrete market models

DOI10.2140/INVOLVE.2019.12.883zbMath1431.91374arXiv1808.03186OpenAlexW3098853294MaRDI QIDQ2278607

Phanuel Mariano, Ryan Craver, Ugonna Ezeaka, Skylyn Brock, Fabrice Baudoin, Mary Wishart, Berend Coster, Ayelet Amiran

Publication date: 5 December 2019

Published in: Involve (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.03186

zbMATH Keywords

portfolio optimizationmathematical financeanticipationinsider tradingdiscrete market modelsfinancial value of weak information

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• On utility maximization in discrete-time financial market models
• Relative risk aversion: what do we know?
• Maxmin expected utility with non-unique prior
• The financial value of a weak information on a financial market
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market

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