An Anticipating Calculus Approach to the Utility Maximization of an Insider

15 Pages Posted: 19 Jan 2003

See all articles by Jorge Alberto León Vázquez

Jorge Alberto León Vázquez

Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) - Dpto. de Matematicas

Reyla Navarro

Departamento de Física y Matemáticas

David Nualart

University of Barcelona - Department of Statistics

Abstract

In this paper we consider a financial market with an insider that has, at time t = 0, some additional information of the whole developing of the market. We use the forward integral, which is an anticipating integral, and the techniques of the Malliavin calculus so that we can take advantage of the privileged information to maximize the expected logarithmic utility from terminal wealth.

Suggested Citation

León Vázquez, Jorge Alberto and Navarro, Reyla and Nualart, David, An Anticipating Calculus Approach to the Utility Maximization of an Insider. Available at SSRN: https://ssrn.com/abstract=371405

Jorge Alberto León Vázquez (Contact Author)

Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) - Dpto. de Matematicas ( email )

14-740
07360 Mexico, D.F.
Mexico

Reyla Navarro

Departamento de Física y Matemáticas

Puebla, 72820
Mexico

David Nualart

University of Barcelona - Department of Statistics ( email )

Barcelona
Spain
+34-934021656 (Phone)
+34-934021601 (Fax)

HOME PAGE: http://www.mat.ub.es/~nualart/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
25
Abstract Views
1,098
PlumX Metrics