Optimal Smooth Portfolio Selection for an Insider

DOI10.1239/jap/1189717542zbMath1136.60047OpenAlexW2142248289MaRDI QIDQ5440646

Bernt Øksendal, Yaozhong Hu

Publication date: 5 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1189717542

zbMATH Keywords

enlargement of filtrationoptimal portfolioinsider tradinginformation flowlog utility

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (5)

Informed traders' hedging with news arrivals ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ White noise calculus in applications to stochastic equations in Hilbert spaces ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Information on jump sizes and hedging

Cites Work

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• Forward, backward and symmetric stochastic integration
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Additional logarithmic utility of an insider
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• A general stochastic calculus approach to insider trading
• Anticipative portfolio optimization
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Public Disclosure and Dissimulation of Insider Trades
• Contractual restrictions on insider trading: A welfare analysis

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