Your browser doesn't support javascript.
loading
Mostrar: 20 | 50 | 100
Resultados 1 - 4 de 4
Filtrar
Mais filtros

Base de dados
Tipo de documento
Intervalo de ano de publicação
1.
Math Biosci Eng ; 20(5): 8305-8307, 2023 Feb 28.
Artigo em Inglês | MEDLINE | ID: mdl-37161198

RESUMO

We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates $ (FLVR)_{ \mathcal{H}(\mathbb{G})} $. However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called buy-and-hold.

2.
Ann Oper Res ; : 1-26, 2022 Nov 27.
Artigo em Inglês | MEDLINE | ID: mdl-36467002

RESUMO

The anticipative information refers to some information about future events that may be disclosed in advance. This information may regard, for example, financial assets and their future trends. In our paper, we assume the existence of some anticipative information in a market whose risky asset dynamics evolve according to a Brownian motion and a Poisson process. Using Malliavin calculus and filtration enlargement techniques, we derive the information drift of the mentioned processes and, both in the pure jump case and in the mixed one, we compute the additional expected logarithmic utility. Many examples are shown, where the anticipative information is related to some conditions that the constituent processes or their running maximum may verify, in particular, we show new examples considering Bernoulli random variables.

3.
Queueing Syst ; 100(3-4): 405-407, 2022.
Artigo em Inglês | MEDLINE | ID: mdl-35431387
4.
Math Biosci Eng ; 17(2): 998-1019, 2019 11 08.
Artigo em Inglês | MEDLINE | ID: mdl-32233567

RESUMO

Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider information. We assume that, since the initial time, the information flow is altered by adding the knowledge of an additional random variable including future information. In this context we study the utility maximization problem under the logarithmic and the Constant Relative Risk Aversion (CRRA) utilities, with and without the restriction of no temporary-bankruptcy. In particular, we show that the value of the insider information may be bounded while the arbitrage condition holds and we prove that the insider information does not always imply arbitrage for the insider by providing an explicit example.

SELEÇÃO DE REFERÊNCIAS
DETALHE DA PESQUISA