Articlebronze2007

Optimal Smooth Portfolio Selection for an Insider

25 citations0/0 files storedJournal of Applied Probability

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

We study the optimal portfolio problem for an insider, in the case where the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses stochastic calculus of forward integrals.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 25 citations exist upstream.

References

1988Stochastic calculus with anticipating integrands 1993Forward, backward and symmetric stochastic integration 2001Public Disclosure and Dissimulation of Insider Trades 1996Anticipative portfolio optimization 1998Additional logarithmic utility of an insider 2000Stochastic calculus with respect to continuous finite quadratic variation processes 2005A General Stochastic Calculus Approach to Insider Trading 1978Grossissement d’une filtration et semi-martingales : Formules explicites

Cited by

2006A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER 2004Partial observation control in an anticipating environment

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.