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How non-arbitrage, viability and numéraire portfolio are related
Choulli, Tahir; Deng, Jun; Ma, Junfeng - In: Finance and stochastics 19 (2015) 4, pp. 719-741
Persistent link: https://www.econbiz.de/10011420437
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Additional utility of insiders with imperfect dynamical information
Corcuera, José Mª; Imkeller, Peter; Kohatsu, Arturo; … - Department of Economics and Business, Universitat … - 2003
additional noise in the insider’s information vanishes is slow enough then there is no arbitrage and the additional utility of …
Persistent link: https://www.econbiz.de/10005772029
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Additional utility of insiders with imperfect dynamical information
Corcuera, José; Imkeller, Peter; Kohatsu-Higa, Arturo; … - In: Finance and Stochastics 8 (2004) 3, pp. 437-450
the insider’s information vanishes is slow enough then there is no arbitrage and the additional utility of the insider is …
Persistent link: https://www.econbiz.de/10005390658
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
Persistent link: https://www.econbiz.de/10013187807
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Arbitrage and control problems in finance: A presentation
Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10010708371
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Arbitrage and control problems in finance: A presentation.
Jouini, Elyès - Université Paris-Dauphine - 2001
price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …
Persistent link: https://www.econbiz.de/10008800246
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Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly
Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16
arbitrage opportunity in the market and whether there is any anomaly in the market. In this paper, we first study the … Hong Kong real estate market is not efficient and there are expected arbitrage opportunities and anomalies in the Hong Kong …
Persistent link: https://www.econbiz.de/10011772356
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Portfolio optimization in a defaultable Lévy-driven market model
Pagliarani, Stefano; Vargiolu, Tiziano - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 617-654
Persistent link: https://www.econbiz.de/10011296739
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The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other...
Persistent link: https://www.econbiz.de/10005652772
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The Shannon information of filtrations and the additional logarithmic utility of insiders
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter - 2005
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents'...
Persistent link: https://www.econbiz.de/10010263596