Information : Price And Impact On General Welfare And Optimal Investment. An Anticipative Stochastic Differential Game Model
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References listed on IDEAS
- Peter Imkeller, 2003. "Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 153-169.
- repec:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003025 is not listed on IDEAS
- Bernt Øksendal, 2006. "A Universal Optimal Consumption Rate For An Insider," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 119-129.
- Arturo Kohatsu-Higa & Agnès Sulem, 2006. "Utility Maximization In An Insider Influenced Market," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 153-179.
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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-ALL-2007-05-26 (All new papers)
- 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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