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- W2139768402 abstract "We consider flnancial markets with two kinds of small traders: regular traders who perceive the (continuous) asset price process S through its natural flltration, and insiders who possess some information advantage which makes the flltrations through which they experience the evolution of the market richer. We discuss the link between (NFLVR), the semimartingale property of S viewed from the agent’s perspective, and bounded expected utility. We show that whenever an agent’s expected utility is flnite, S is a semimartingale with a Doob-Meyer decomposition featuring a martingale part and an information drift. The expected utility gain of an insider with respect to a regular trader is calculated in a completely general setting. In particular, for the logarithmic utility function, utility gain is a function of the relative information drift alone, regardless of whether the market admits arbitrage." @default.
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- W2139768402 date "2005-05-01" @default.
- W2139768402 modified "2023-09-27" @default.
- W2139768402 title "Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆" @default.
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- W2139768402 doi "https://doi.org/10.1016/j.anihpb.2004.03.008" @default.
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