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Keywords = Ayed-Kuo integral

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19 pages, 318 KiB  
Article
Optimal Portfolios for Different Anticipating Integrals under Insider Information
by Carlos Escudero and Sandra Ranilla-Cortina
Mathematics 2021, 9(1), 75; https://doi.org/10.3390/math9010075 - 31 Dec 2020
Cited by 8 | Viewed by 3178
Abstract
We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the [...] Read more.
We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the Ayed-Kuo, and the Hitsuda-Skorokhod integrals. We compute the optimal portfolio for each of these cases with the aim of establishing a comparison between these integrals in order to clarify their potential use in this type of problem. Our results give a partial indication that, while the forward integral yields a portfolio that is financially meaningful, the Ayed-Kuo and the Hitsuda-Skorokhod integrals do not provide an appropriate investment strategy for this problem. Full article
(This article belongs to the Section D1: Probability and Statistics)
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