OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
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Publication:3023916
DOI10.1142/S0219024905003025zbMath1152.91508MaRDI QIDQ3023916
Publication date: 6 July 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (4)
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA ⋮ Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model ⋮ The Malliavin gradient method for the calibration of stochastic dynamical models ⋮ Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Cites Work
- An introduction to analysis on Wiener space
- Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Anticipative portfolio optimization
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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