2015/08/26 by Bernt Øksendal, Øksendal, Bernt, Elin Røse +1
Economics, Econometrics and Finance · Mathematics · #60H10 #60H40 #60J65 #91B70 #91G10 #91G80 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #math.OC #math.PR #msc:60H10 #msc:60H40 #msc:60J65 #msc:91B70 #msc:91G10 #msc:91G80 #msc:93E20 #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1508.06376
arXiv admin note: text overlap with arXiv:1504.02581
arxiv created 2015/08/26 · arxiv updated 2015/08/27
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.