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Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market


    (Department of Mathematics, Erwin Schrödinger Strasse, University of Kaiserslautern, 67663 Kaiserslautern, Germany)

We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider strategies for a general stochastic volatility model but also apply the methods to explicit examples. We further discuss how the Heston model fits into this context.

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Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 08 (2005)
Issue (Month): 03 ()
Pages: 301-319

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Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:03:p:301-319
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