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Optimal investment with inside information and parameter uncertainty

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  • Albina Danilova
  • Michael Monoyios
  • Andrew Ng
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    This paper has been withdrawn by the authors pending corrections.

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    File URL: http://arxiv.org/pdf/0911.3117
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 0911.3117.

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    Date of creation: Nov 2009
    Date of revision: Feb 2010
    Handle: RePEc:arx:papers:0911.3117

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    Web page: http://arxiv.org/

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    1. Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
    2. Fabrice Baudoin & Laurent Nguyen-Ngoc, 2004. "The financial value of a weak information on a financial market," Finance and Stochastics, Springer, vol. 8(3), pages 415-435, 08.
    3. Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt, 2007. "Strategic Insider Trading Equilibrium: A Forward Integration Approach," Discussion Papers 2007/24, Department of Business and Management Science, Norwegian School of Economics.
    4. Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
    5. Stefan Ankirchner & Steffen Dereich & Peter Imkeller, 2005. "The Shannon information of filtrations and the additional logarithmic utility of insiders," Science & Finance (CFM) working paper archive math/0503013, Science & Finance, Capital Fund Management, revised May 2006.
    6. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154.
    7. José Corcuera & Peter Imkeller & Arturo Kohatsu-Higa & David Nualart, 2004. "Additional utility of insiders with imperfect dynamical information," Finance and Stochastics, Springer, vol. 8(3), pages 437-450, 08.
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