A portfolio optimization problem in a market with two prices generated by two information ow.
作者： Caroline Hillairet
DOI:
关键词:
摘要:
参考文章(11)
Kerry Back, Continuous trading with asymmetric information and imperfect competition Institute for Mathematics and Its Applications. ,vol. 65, pp. 1- ,(1995)
T. Jeulin, M. Yor, Inégalité de Hardy, semimartingales, et faux-amis Lecture Notes in Mathematics. ,vol. 13, pp. 332- 359 ,(1979) , 10.1007/BFB0070874
N. El Karoui, M. Jeanblanc, Y. Jiao, B. Zargari, Conditional Default Probability and Density Springer, Cham. pp. 201- 219 ,(2014) , 10.1007/978-3-319-02069-3_9
Elyégs Jouini, Hédi Kallal, ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS Mathematical Finance. ,vol. 5, pp. 197- 232 ,(1995) , 10.1111/J.1467-9965.1995.TB00065.X
Caroline Hillairet, Comparison of insiders’ optimal strategies depending on the type of side-information Stochastic Processes and their Applications. ,vol. 115, pp. 1603- 1627 ,(2005) , 10.1016/J.SPA.2005.05.005
Robert J. Elliott, Monique Jeanblanc, Incomplete markets with jumps and informed agents Mathematical Methods of Operations Research. ,vol. 50, pp. 475- 492 ,(1999) , 10.1007/S001860050082
Albert S. Kyle, Continuous Auctions and Insider Trading Econometrica. ,vol. 53, pp. 1315- 1335 ,(1985) , 10.2307/1913210
Monique Jeanblanc, Yann Lecam, Progressive Enlargement of Filtrations with Initial Times SSRN Electronic Journal. ,(2008) , 10.2139/SSRN.1003522
Jürgen Amendinger, Peter Imkeller, Martin Schweizer, Additional logarithmic utility of an insider Stochastic Processes and their Applications. ,vol. 75, pp. 263- 286 ,(1998) , 10.1016/S0304-4149(98)00014-3
Axel Grorud, Monique Pontier, Insider Trading in a Continuous Time Market Model International Journal of Theoretical and Applied Finance. ,vol. 01, pp. 331- 347 ,(1998) , 10.1142/S0219024998000199