发帖
雷达卡
英文标题：
《Arbitrage and utility maximization in market models with an insider》
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作者：
Ngoc Huy Chau, Wolfgang Runggaldier and Peter Tankov
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最新提交年份：
2016
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英文摘要：
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No Unbounded Profits with Bounded Risk property to hold, characterize optimal arbitrage strategies, and prove duality results for the utility maximization problem faced by the insider. Examples of markets satisfying NUPBR yet admitting arbitrage opportunities are provided for both atomic and continuous random variables G.
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中文摘要：
我们研究了有内幕人士的市场模型中的套利机会、市场生存能力和效用最大化。假设一个经济代理人从一开始就拥有一个随机变量G形式的附加信息，该信息只在T日为普通代理人所知，我们给出了具有有界风险性质的无无界利润的标准，刻画了最优套利策略，并证明了内部人所面临的效用最大化问题的对偶结果。对于原子和连续随机变量G，提供了满足NUPBR但允许套利机会的市场示例。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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