The financial value of a weak information on a financial market
type: Item
instance of: scholarly article
title: The financial value of a weak information on a financial market
zbMATH Open document ID: 1064.60082
author: Fabrice Baudoin
author: L. Nguyen-Ngoc
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
review text: The authors propose an alternative modelling of an additional information that privileged investors possess. It is assumed that their extra knowledge consists of the law of a functional \(Y\) of the price process, rather than the exact value of \(Y\) as in the enlargement approach. The financial value of this weak information is defined as the lowest increase in utility that can be gained by the insider from this extra knowledge. In the case of a complete market it is proved that there exists a unique probability measure which realizes the value of the weak information. In the case of an incomplete market, by using the duality methods for utility maximization, it is shown that in some sense the dual problem associated with the computation of the financial value of the information is also independent of the utility function; furthermore, the interesting lower bound for the financial value of a weak information on the value of price at a given date.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B42
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 2169542
zbMATH Keywords: financial value of an anticipation
zbMATH Keywords: minimal Markov models
zbMATH Keywords: portfolio optimization
zbMATH Keywords: weak information
MaRDI profile type: Publication
full work available at URL: s00780-003-0116-1
OpenAlex ID: W4299957143
DOI: 10.1007/S00780-003-0116-1
description: scientific article; zbMATH DE number 2169542