Portfolio management in a stochastic factor model under the existence of private information-Reference-Cited by-同舟云学术

Portfolio management in a stochastic factor model under the existence of private information

Published:2017-12-08 Issue:1 Volume:30 Page:77-103
ISSN:1471-678X
Container-title:IMA Journal of Management Mathematics
language:en
Short-container-title:

Author:

Baltas Ioannis¹,Yannacopoulos Athanasios N²

Affiliation:

1. Department of Financial and Management Engineering, University of the Aegean, Chios, Greece

2. Department of Statistics and Laboratory of Stochastic Modelling and Applications, Athens University of Economics and Business, Athens, Greece

Funder

Research Funding at Athens University of Economics and Business for Excellence and Extroversion: Action 2

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modelling and Simulation,Management Information Systems

Link

http://academic.oup.com/imaman/article-pdf/30/1/77/27170615/dpx012.pdf

Reference41 articles.

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2. Financial markets with asymmetric information: information drift, additional utility and entropy.;Ankirchner,2007

3. Optimal investment and reinsurance policies in insurance markets under the effect of inside information,;Baltas;Appl. Stoch. Models Bus. Ind.,,2012

4. Minimal variance hedging for insider trading,;Biagini;Int. J. Theor. Appl. Finance,,2006

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