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- W3121129013 abstract "We consider the problem of optimal inside portfolio $pi(t)$ in a financial market with a corresponding wealth process $X(t)=X^{pi}(t)$ modelled by begin{align}label{eq0.1} begin{cases} dX(t)&=pi(t)X(t)[alpha(t)dt+beta(t)dB(t)]; quad tin[0, T] X(0)&=x_0>0, end{cases} end{align} where $B(cdot)$ is a Brownian motion. We assume that the insider at time $t$ has access to market information $varepsilon_t>0$ units ahead of time, in addition to the history of the market up to time $t$. The problem is to find an insider portfolio $pi^{*}$ which maximizes the expected logarithmic utility $J(pi)$ of the terminal wealth, i.e. such that $$sup_{pi}J(pi)= J(pi^{*}), text {where } J(pi)= mathbb{E}[log(X^{pi}(T))].$$ The insider market is called emph{viable} if this value is finite. We study under what inside information flow $mathbb{H}$ the insider market is viable or not. For example, assume that for all $t" @default.
- W3121129013 created "2021-02-01" @default.
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- W3121129013 date "2018-01-01" @default.
- W3121129013 modified "2023-09-27" @default.
- W3121129013 title "Viable Insider Markets" @default.
- W3121129013 hasPublicationYear "2018" @default.
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