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Additional logarithmic utility of an insider

Citations

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Cited by:

  1. José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
  2. Grzegorz Hara'nczyk & Wojciech S{l}omczy'nski & Tomasz Zastawniak, 2007. "Relative and Discrete Utility Maximising Entropy," Papers 0709.1281, arXiv.org.
  3. Delia Coculescu & Aditi Dandapani, 2020. "Insiders and their Free Lunches: the Role of Short Positions," Papers 2012.00359, arXiv.org, revised Jan 2022.
  4. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
  5. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2019. "Insider information and its relation with the arbitrage condition and the utility maximization problem," DES - Working Papers. Statistics and Econometrics. WS 28805, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
  7. Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Papers 0808.2892, arXiv.org.
  9. Anne Eyraud-Loisel, 2011. "Option Hedging By An Influent Informed Investor," Post-Print hal-00450948, HAL.
  10. Ernst, Philip A. & Rogers, L.C.G. & Zhou, Quan, 2017. "The value of foresight," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3913-3927.
  11. Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
  12. Imkeller, Peter & Pontier, Monique & Weisz, Ferenc, 2001. "Free lunch and arbitrage possibilities in a financial market model with an insider," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 103-130, March.
  13. Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras, 2014. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Papers 1401.7198, arXiv.org, revised May 2015.
  14. Acciaio, B. & Backhoff-Veraguas, J. & Zalashko, A., 2020. "Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization," LSE Research Online Documents on Economics 101864, London School of Economics and Political Science, LSE Library.
  15. Baudoin, Fabrice, 0. "Conditioned stochastic differential equations: theory, examples and application to finance," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 109-145, July.
  16. Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov, 2016. "Arbitrage and utility maximization in market models with an insider," Papers 1608.02068, arXiv.org, revised Sep 2016.
  17. Aksamit, Anna & Choulli, Tahir & Deng, Jun & Jeanblanc, Monique, 2019. "No-arbitrage under additional information for thin semimartingale models," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3080-3115.
  18. Stefan Ankirchner, 2005. "Utility duality under additional information: conditional measures versus filtration enlargements," SFB 649 Discussion Papers SFB649DP2005-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  19. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
  20. Fontana, Claudio, 2018. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1007-1033.
  21. 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.
  22. Mengütürk, Levent Ali, 2018. "Gaussian random bridges and a geometric model for information equilibrium," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 465-483.
  23. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," LSE Research Online Documents on Economics 65150, London School of Economics and Political Science, LSE Library.
  24. Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
  25. Bernardo D'Auria & Jos'e Antonio Salmer'on, 2017. "Valuing the anticipative information on the stochastic short interest rates," Papers 1711.03642, arXiv.org, revised Nov 2021.
  26. El Otmani, Mohamed, 2009. "BSDEs driven by Lévy process with enlarged filtration and applications in finance," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 44-49, January.
  27. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
  28. Bernardo D'Auria & Jos'e Antonio Salmer'on, 2019. "Insider information and its relation with the arbitrage condition and the utility maximization problem," Papers 1909.03430, arXiv.org, revised Dec 2019.
  29. Yan Dolinsky & Jonathan Zouari, 2019. "The Value of Insider Information for Super--Replication with Quadratic Transaction Costs," Papers 1910.09855, arXiv.org, revised Sep 2020.
  30. Detemple, Jerome & Rindisbacher, Marcel & Robertson, Scott, 2022. "Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 141(C).
  31. Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
  32. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.
  33. Ying Jiao & Idris Kharroubi, 2016. "Information uncertainty related to marked random times and optimal investment," Papers 1607.02743, arXiv.org, revised Mar 2017.
  34. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
  35. José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
  36. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
  37. Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
  38. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
  39. Dolinsky, Yan & Zouari, Jonathan, 2021. "The value of insider information for super-replication with quadratic transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 394-416.
  40. Acciaio, B. & Backhoff-Veraguas, J. & Zalashko, A., 2020. "Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2918-2953.
  41. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835, arXiv.org, revised Mar 2018.
  42. Peter Imkeller & Nicolas Perkowski, 2011. "The Existence of Dominating Local Martingale Measures," Papers 1111.3885, arXiv.org, revised Mar 2013.
  43. Stefan Ankirchner & Steffen Dereich & Peter Imkeller, 2005. "The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders," SFB 649 Discussion Papers SFB649DP2005-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  44. Giacomo Morelli, 2021. "Liquidity drops," Annals of Operations Research, Springer, vol. 299(1), pages 711-719, April.
  45. Geoff Lindsell, 2022. "Convergence of the financial value of weak information for a sequence of discrete-time markets," Papers 2205.05133, arXiv.org.
  46. Edward Hoyle & Andrea Macrina & Levent A. Menguturk, 2017. "Modulated Information Flows in Financial Markets," Papers 1708.06948, arXiv.org, revised May 2020.
  47. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
  48. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1761-1784.
  49. Ferdoos Alharbi & Tahir Choulli, 2022. "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers 2204.03798, arXiv.org.
  50. D'Auria, Bernardo & García Martí, Dolores & Salmerón Garrido, José Antonio, 2017. "Optimal portfolio with insider information on the stochastic interest rate," DES - Working Papers. Statistics and Econometrics. WS 25819, Universidad Carlos III de Madrid. Departamento de Estadística.
  51. 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.
  52. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time," Papers 1810.12762, arXiv.org, revised Aug 2020.
  53. David B Colwell & David Feldman & Wei Hu & Monique Pontier, 2023. "Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation," Working Papers hal-04116818, HAL.
  54. Zhenyu Cui & Jun Deng, 2018. "Shortfall risk through Fenchel duality," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-14, June.
  55. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  56. Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
  57. Tahir Choulli & Jun Deng, 2014. "Structure conditions under progressively added information," Papers 1403.3459, arXiv.org, revised Dec 2018.
  58. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, vol. 236(1), pages 200-208.
  59. Huy N. Chau & Andrea Cosso & Claudio Fontana, 2020. "The value of informational arbitrage," Finance and Stochastics, Springer, vol. 24(2), pages 277-307, April.
  60. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
  61. Neda Esmaeeli & Peter Imkeller, 2015. "American Options with Asymmetric Information and Reflected BSDE," Papers 1505.05046, arXiv.org, revised Aug 2017.
  62. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.
  63. Peter Bank & Yan Dolinsky & Mikl'os R'asonyi, 2021. "What if we knew what the future brings? Optimal investment for a frontrunner with price impact," Papers 2108.04291, arXiv.org, revised May 2022.
  64. Olfa Draouil & Bernt {O}ksendal, 2018. "Viable Insider Markets," Papers 1801.03720, arXiv.org.
  65. Jorge A. León & Reyla Navarro & David Nualart, 2003. "An Anticipating Calculus Approach to the Utility Maximization of an Insider," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 171-185, January.
  66. Rosanna Coviello & Cristina Di Girolami & Francesco Russo, 2011. "On stochastic calculus related to financial assets without semimartingales," Papers 1102.2050, arXiv.org.
  67. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  68. Bernardo D'Auria & Jos'e A. Salmer'on, 2021. "Anticipative information in a Brownian-Poissonmarket: the binary information," Papers 2111.01529, arXiv.org.
  69. Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
  70. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  71. A. Hoseinzadeh & G. Mohtashami Borzadaran & G. Yari, 2012. "Aspects concerning entropy and utility," Theory and Decision, Springer, vol. 72(2), pages 273-285, February.
  72. 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.
  73. Claudio Fontana, 2015. "The strong predictable representation property in initially enlarged filtrations under the density hypothesis," Papers 1508.03282, arXiv.org, revised Jun 2017.
  74. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2021. "Anticipative information in a Brownian-Poisson market: the binary information," DES - Working Papers. Statistics and Econometrics. WS 33624, Universidad Carlos III de Madrid. Departamento de Estadística.
  75. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
  76. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2017. "No-arbitrage up to random horizon for quasi-left-continuous models," Finance and Stochastics, Springer, vol. 21(4), pages 1103-1139, October.
  77. Geoff Lindsell, 2022. "Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets in Initially Enlarged Filtrations," Papers 2203.08859, arXiv.org, revised Mar 2022.
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