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Additional logarithmic utility of an insider
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - 1998
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 …
Persistent link: https://www.econbiz.de/10009577457
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - 2002
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 …
Persistent link: https://www.econbiz.de/10009620768
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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts
Klapper, Daniel; Herwartz, Helmut - 1998
Persistent link: https://www.econbiz.de/10009578563
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Private information, risk aversion, and the evolution of market research
Güth, Sandra; Güth, Werner; Müller, Wieland - 2000
On a homogeneous oligopoly market informed sellers are fully aware of market demand whereas uninformed sellers only know the distribution. We first derive the market results when sellers are risk averse, similarly to Ponssard (1979) who assumed risk neutrality throughout. With the help of these...
Persistent link: https://www.econbiz.de/10009612010
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A market basket analysis based on the multivariate MNL model
Boztuğ, Yasemin (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919370
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Selfinformative limits of bayes estimates and generalized maximum likelihood
Bunke, Olaf (contributor); Johannes, Jan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919013
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Bayes estimates in multivariate semiparametric linear models
Bunke, Olaf - 2002
Bayes estimates are derived in multivariate linear models with unknown distribution. The prior distribution is defined using a Dirichlet prior for the unknown error distribution and a ormal-Wishart distribution for the parameters. The posterior distribution for the parameters is determined and...
Persistent link: https://www.econbiz.de/10009626682
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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Heuristics as decision rules : Part I: the single consumer
Güth, Werner; Neuefeind, Wilhelm - 2001
commodities as food items. Using utility functions we can measure the welfare loss, caused by such heuristics, and to what extent …-Douglas utility function. General utility functions will also be considered. Part II will study exchange economies. …
Persistent link: https://www.econbiz.de/10009612561
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876