Arbitrage and utility maximization in market models with an insider
نویسندگان
چکیده
منابع مشابه
Utility Maximization in an Illiquid Market
We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage conditions were also discussed.
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2018
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-018-0217-4