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

Abstract

<abstract><p>We prove that Theorem 4.16 in ^{[<xref ref-type="bibr" rid="b1">1</xref>]} 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>