Comparison of insiders' optimal strategies depending on the type of side-information

Caroline Hillairet

Stochastic Processes and their Applications, 2005, vol. 115, issue 10, 1603-1627

Abstract: In this paper, we consider a complete continuous-time financial market with discontinuous prices and different types of side-information (initial or progressive strong information, weak information). The agents strive to maximize the expectation of the logarithm of their terminal wealth. Our purpose is to explicit and to simulate the optimal strategy of the insiders in some examples of side-information. We compare those optimal strategies, depending on the type of side-information.

Keywords: Strong; and; weak; information; Risk; neutral; probability; measure; and; minimal; probability; measure; Optimal; strategy; Simulation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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