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- W3173546844 abstract "We study a Black-Scholes market with a finite time horizon and two investors: an honest and an insider trader. We analyze it with anticipating stochastic calculus in two steps. First, we recover the classical result on portfolio optimization that shows that the expected logarithmic utility of the insider is strictly greater than that of the honest trader. Then, we prove that, whenever the market is viable, the honest trader can get a higher logarithmic utility, and therefore more wealth, than the insider with a strictly positive probability. Our proof relies on the analysis of a sort of forward integral variant of the Dol'eans-Dade exponential process. The main financial conclusion is that the logarithmic utility is perhaps too conservative for some insiders." @default.
- W3173546844 created "2021-07-05" @default.
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- W3173546844 date "2021-06-01" @default.
- W3173546844 modified "2023-09-27" @default.
- W3173546844 title "Chances for the honest in honest versus insider trading" @default.
- W3173546844 hasPublicationYear "2021" @default.
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