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 …

Carlo simulations. Preferences are modeled by time-additive expected utility and, alternatively, by recursive non …-expected utility. The empirical results for the period 1960 to 1994 confirm those for the U.S. and favour the use of recursive non …-expected utility which clearly distinguishes between risk preference and time preference. The leverage approach yields the first moment …

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern … with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …