Anticipative information in a Brownian−Poisson market

Bernardo D’Auria () and Jose A. Salmeron ()
Additional contact information
Bernardo D’Auria: University of Padova
Jose A. Salmeron: University Carlos III of Madrid

Annals of Operations Research, 2024, vol. 336, issue 1, No 43, 1289-1314

Abstract: Abstract The anticipative information refers to some information about future events that may be disclosed in advance. This information may regard, for example, financial assets and their future trends. In our paper, we assume the existence of some anticipative information in a market whose risky asset dynamics evolve according to a Brownian motion and a Poisson process. Using Malliavin calculus and filtration enlargement techniques, we derive the information drift of the mentioned processes and, both in the pure jump case and in the mixed one, we compute the additional expected logarithmic utility. Many examples are shown, where the anticipative information is related to some conditions that the constituent processes or their running maximum may verify, in particular, we show new examples considering Bernoulli random variables.

Keywords: Optimal portfolio; Malliavin calculus; Clark–Ocone formula; Insider information; Value of the information; 91G10; 60H7; 93E12 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-022-05060-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05060-0

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-022-05060-0

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().