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Optimal investment with inside information and parameter uncertainty

Abstract:

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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Michael Monoyios More by this author
Publication date:
2010
URN:
uuid:9db18871-5fd1-4442-92cd-fcfeeb81beec
Local pid:
oai:eprints.maths.ox.ac.uk:970

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