A note on Insider information and its relation with the arbitrage condition and the utility maximization problem

Author:

D'Auria Bernardo1,Salmerón José Antonio2

Affiliation:

1. Department of Mathematics "Tullio Levi-Civita", University of Padova, 35131, Padova PD, Italy

2. Department of Statistics, University Carlos Ⅲ of Madrid, 28911, Leganés, Spain

Abstract

<abstract><p>We prove that Theorem 4.16 in <sup>[<xref ref-type="bibr" rid="b1">1</xref>]</sup> is false by constructing a strategy that generates $ (FLVR)_{ \mathcal{H}(\mathbb{G})} $. However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called <italic>buy-and-hold</italic>.</p></abstract>

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Computational Mathematics,General Agricultural and Biological Sciences,Modeling and Simulation,General Medicine

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