Optimal portfolio for an insider in a market driven by Lévy processes§

Nunno, Giulia Di; Meyer-Brandis, Thilo ; Øksendal, Bernt und Proske, Frank (2006): Optimal portfolio for an insider in a market driven by Lévy processes§. In: Quantitative Finance, Bd. 6, Nr. 1: S. 83-94

Abstract

We consider a financial market driven by a Lévy process with filtration . An insider in this market is an agent who has access to more information than an honest trader. Mathematically, this is modelled by allowing a strategy of an insider to be adapted to a bigger filtration . The corresponding anticipating stochastic differential equation of the wealth is interpreted in the sense of forward integrals. In this framework, we study the optimal portfolio problem of an insider with logarithmic utility function. Explicit results are given in the case where the jumps are generated by a Poisson process.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1469-7688
• Sprache: Englisch