Utility Maximization In An Insider Influenced Market
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- Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
- Ewald, Christian-Oliver & Xiao, Yajun, 2007. "Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model," MPRA Paper 3301, University Library of Munich, Germany.
- Kohatsu-Higa, Arturo & Yamazato, Makoto, 2008. "Enlargement of filtrations with random times for processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1136-1158, July.
- Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.
- Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
- Tahir Choulli & Jun Deng, 2014. "Structural Models under Additional Information," Papers 1403.3459, arXiv.org.
- Bernardo D'Auria & Dolores Garc'ia Mart'i & Jos'e Antonio Salmer'on, 2017. "Optimal portfolio with insider information on the stochastic interest rate," Papers 1711.03642, arXiv.org.
- repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3 is not listed on IDEAS
- Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
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