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2019 The financial value of knowing the distribution of stock prices in discrete market models
Ayelet Amiran, Fabrice Baudoin, Skylyn Brock, Berend Coster, Ryan Craver, Ugonna Ezeaka, Phanuel Mariano, Mary Wishart
Involve 12(5): 883-899 (2019). DOI: 10.2140/involve.2019.12.883

Abstract

An explicit formula is derived for the value of weak information in a discrete-time model that works for a wide range of utility functions, including the logarithmic utility and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets.

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Ayelet Amiran. Fabrice Baudoin. Skylyn Brock. Berend Coster. Ryan Craver. Ugonna Ezeaka. Phanuel Mariano. Mary Wishart. "The financial value of knowing the distribution of stock prices in discrete market models." Involve 12 (5) 883 - 899, 2019. https://doi.org/10.2140/involve.2019.12.883

Information

Received: 8 November 2018; Accepted: 26 January 2019; Published: 2019
First available in Project Euclid: 29 May 2019

zbMATH: 07140453
MathSciNet: MR3954302
Digital Object Identifier: 10.2140/involve.2019.12.883

Subjects:
Primary: 91G10

Keywords: anticipation , discrete market models , financial value of weak information , insider trading , mathematical finance , Portfolio optimization

Rights: Copyright © 2019 Mathematical Sciences Publishers

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Vol.12 • No. 5 • 2019
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