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A monetary value for initial information in portfolio optimization · Study

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ArticleA monetary value for initial information in portfolio optimization

J�rgen Amendinger2003

Article2003

A monetary value for initial information in portfolio optimization

J�rgen Amendinger · Dirk Becherer · Walter Schachermayer B

106 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1979Calcul Stochastique et Problèmes de Martingales 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1989Optimal replication of contingent claims under transaction costs 2019Semimartingale Theory and Stochastic Calculus 1996Anticipative portfolio optimization 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov

Cited by

2008Stochastic Differential Games with Asymmetric Information 2006The Shannon information of filtrations and the additional logarithmic utility of insiders 2005Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆2006MINIMAL VARIANCE HEDGING FOR INSIDER TRADING 2003Modeling Anticipations on Financial Markets 2010

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Year2003

Typearticle

Published2003-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations106

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800200075

openalex_workW1998295692

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Optimal investment with inside information and parameter uncertainty

2003Indifference pricing of insurance contracts in a product space model