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Comparison of insiders' optimal strategies depending on the type of side-information

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  • Hillairet, Caroline

Abstract

In this paper, we consider a complete continuous-time financial market with discontinuous prices and different types of side-information (initial or progressive strong information, weak information). The agents strive to maximize the expectation of the logarithm of their terminal wealth. Our purpose is to explicit and to simulate the optimal strategy of the insiders in some examples of side-information. We compare those optimal strategies, depending on the type of side-information.

Suggested Citation

  • Hillairet, Caroline, 2005. "Comparison of insiders' optimal strategies depending on the type of side-information," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1603-1627, October.
  • Handle: RePEc:eee:spapps:v:115:y:2005:i:10:p:1603-1627
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    References listed on IDEAS

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    1. Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 263-286, July.
    2. Caroline Hillairet, 2005. "Existence Of An Equilibrium With Discontinuous Prices, Asymmetric Information, And Nontrivial Initial Σ-Fields," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 99-117.
    3. Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
    4. Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Robert J. Elliott & Monique Jeanblanc, 1999. "Incomplete markets with jumps and informed agents," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(3), pages 475-492, December.
    6. 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, August.
    7. repec:spr:compst:v:50:y:1999:i:3:p:475-492 is not listed on IDEAS
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    Cited by:

    1. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
    2. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
    3. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.

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