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2006-01-27Buch DOI: 10.18452/3722
Additional Logarithmic Utility of an Insider
dc.contributor.authorAmendinger, Jürgen
dc.contributor.authorImkeller, Peter
dc.contributor.authorSchweizer, Martin
dc.date.accessioned2017-06-15T21:54:54Z
dc.date.available2017-06-15T21:54:54Z
dc.date.created2006-01-27
dc.date.issued2006-01-27
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4374
dc.description.abstractIn this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor’s portfolio decisions are based on a public information flow, the insider possesses from the beginning extra information about the outcome of some random variable G, e.g., the future price of a stock. We solve the two optimization problems explicitly and rewrite the insider’s additional expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the finiteness of this additional utility and to show that it is basically given by the entropy of G.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectinsider tradingeng
dc.subjectentropyeng
dc.subjectutility maximizationeng
dc.subjectinitial enlargement of filtrationseng
dc.subjectrelative entropyeng
dc.subject.ddc330 Wirtschaft
dc.titleAdditional Logarithmic Utility of an Insider
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056711
dc.identifier.doihttp://dx.doi.org/10.18452/3722
dc.subject.dnb17 Wirtschaft
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1998
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1998,25

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