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Optimal investment and hedging under partial and inside information

Abstract:

This article concerns optimal investment and hedging for agents who must use trading strategies which are adapted to the filtration generated by asset prices, possibly augmented with some inside information related to the future evolution of an asset price. The price evolution and observations are taken to be continuous, so the partial (and, when applicable, inside) information scenario is characterised by asset price processes with an unknown drift parameter, which is to be filtered from pri...

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Publication date:
2009-01-06
URN:
uuid:9a1a1f36-0755-4332-b9fa-d984bb4f5c76
Local pid:
oai:eprints.maths.ox.ac.uk:763

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