Buckley, Winston S.; Long, Hongwei - In: European Journal of Operational Research 243 (2015) 3, pp. 944-955
We study a discontinuous mispricing model of a risky asset under asymmetric information where jumps in the asset price and mispricing are modelled by Lévy processes. By contracting the filtration of the informed investor, we obtain optimal portfolios and maximum expected utilities for the...