Optimal Smooth Portfolio Selection for An Insider
نویسندگان
چکیده
Abstract We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses Malliavin calculus and stochastic calculus of forward integrals. We obtain new results about the enlargement of filtration.
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