OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET

Christian-Oliver Ewald

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 03, 301-319

Abstract: We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider strategies for a general stochastic volatility model but also apply the methods to explicit examples. We further discuss how the Heston model fits into this context.

Keywords: Malliavin Calculus; analysis on Wiener space; insider trading; portfolio optimization (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219024905003025

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