Author:
Bank Peter,Dolinsky Yan,Rásonyi Miklós
Abstract
AbstractIn this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transaction costs. In the Bachelier setting with exponential utility, we give an explicit solution to this control problem with intrinsically infinite-dimensional memory. This is made possible by solving the dual problem where we make use of the theory of Gaussian Volterra integral equations.
Funder
German-Israeli Foundation for Scientific Research and Development
Israel Science Foundation
Magyar Tudományos Akadémia Számítástechnikai és Automatizálási Kutatóintézet
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Reference28 articles.
1. Almgren, R., Chriss, N.: Optimal execution of portfolio transactions. J. Risk 3, 5–39 (2001)
2. Amendinger, J., Becherer, D., Schweizer, M.: A monetary value for initial information in portfolio optimization. Finance Stochast. 7, 29–46 (2003)
3. Amendinger, J., Imkeller, P., Schweizer, M.: Additional logarithmic utility of an insider. Stochast. Process. Appl. 75, 263–286 (1998)
4. Ankirchner, S., Blanchet-Scalliet, C., Eyraud-Loisel, A.: Optimal portfolio liquidation with additional information. Math. Fin. Econ. 10(1), 1–14 (2016)
5. Ankirchner, S., Dereich, S., Imkeller, P.: The Shannon information of filtrations and the additional logarithmic utility of insiders. Ann. Appl. Probab. 34, 743–778 (2006)
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献