expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public … expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the … finiteness of this additional utility and to show that it is basically given by the entropy of G. -- insider trading ; entropy …

we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …

theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or …This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove … investor's utility maximization problem. -- large investor ; feedback effect ; parameter dependent semimartingales ; uniform …