Optimal investment with inside information and parameter uncertainty

Journal article

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenario with enlargement of filtration techniques. We apply a variant of the Kalman-Bucy filter to infer a signal, given a combination of an observation process and some additional information. This conv...

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Authors: Danilova, A; Monoyios, M; Ng, A