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A monetary value for initial information in portfolio optimization

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2008Stochastic Differential Games with Asymmetric Information73 cited
2006The Shannon information of filtrations and the additional logarithmic utility of insiders72 cited
2005Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆41 cited
2006MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

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40 cited

2003Modeling Anticipations on Financial Markets37 cited

2010Optimal investment with inside information and parameter uncertainty30 cited

2003Indifference pricing of insurance contracts in a product space model30 cited

2009Information, Expected Utility, and Portfolio Choice26 cited

2007Models for Insider Trading with Finite Utility25 cited