The financial value of a weak information on a financial market

Fabrice Baudoin () and Laurent Nguyen-Ngoc ()

Finance and Stochastics, 2004, vol. 8, issue 3, 415-435

Abstract: The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the selected utility function. Throughout the paper, Markovian models are studied in details as canonical examples. Copyright Springer-Verlag Berlin/Heidelberg 2004

Keywords: Financial value of an anticipation; minimal Markov models; portfolio optimization; weak information (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s00780-003-0116-1

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