Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model
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References listed on IDEAS
- Christian-Oliver Ewald, 2005. "Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 301-319.
- Bernt Øksendal, 2006. "A Universal Optimal Consumption Rate For An Insider," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 119-129, January.
- Arturo Kohatsu‐Higa & Agnès Sulem, 2006. "Utility Maximization In An Insider Influenced Market," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 153-179, January.
- Peter Imkeller, 2003. "Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 153-169, January.
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- O. Menoukeu Pamen & F. Proske & H. Binti Salleh, 2014. "Stochastic Differential Games in Insider Markets via Malliavin Calculus," Journal of Optimization Theory and Applications, Springer, vol. 160(1), pages 302-343, January.
More about this item
Keywordsinformation; financial markets; stochastic differential games;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-DGE-2007-05-26 (Dynamic General Equilibrium)
- NEP-GTH-2007-05-26 (Game Theory)
- NEP-MIC-2007-05-26 (Microeconomics)
- NEP-MST-2007-05-26 (Market Microstructure)
- NEP-UPT-2007-05-26 (Utility Models & Prospect Theory)
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