Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European Journal of Operational Research 236 (2014) 1, pp. 200-208
This paper addresses how asymmetric information, fads and Lévy jumps in the price of an asset affect the optimal … attention to the overall variance of the asset pricing process when jumps exist in fads models. Moreover, if there are very … little or too much fads, then the informed investor has no utility advantage in the long run. …