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 portfolio strategies and maximum expected utilities of two distinct classes of rational investors in a financial market. We obtain the investors’ optimal portfolios and maximum...