论文标题
使用Skorokhod和Russo-Vallois整合使用内部信息的最佳投资
Optimal investment with insider information using Skorokhod & Russo-Vallois integration
论文作者
论文摘要
我们研究了对数实用程序的最大化，以具有不同预期技术的内部人员。我们的目的是比较在这种情况下的Russo-Vallois前进和Skorokhod积分的利用。理论分析和说明性的数值示例表明，Skorokhod内部人士的表现优于前向内幕。这一非凡的观察与涉及风险中立交易者的情况形成对比。此外，如果驾驶随机过程中的显着负波动导致足够的负最终值，则普通交易者可以超越两个内部人。这些发现强调了预期的随机演算与非线性实用程序之间的复杂相互作用，这可能从财务上产生非直觉的结果。
We study the maximization of the logarithmic utility for an insider with different anticipating techniques. Our aim is to compare the utilization of Russo-Vallois forward and Skorokhod integrals in this context. Theoretical analysis and illustrative numerical examples showcase that the Skorokhod insider outperforms the forward insider. This remarkable observation stands in contrast to the scenario involving risk-neutral traders. Furthermore, an ordinary trader could surpass both insiders if a significant negative fluctuation in the driving stochastic process leads to a sufficiently negative final value. These findings underline the intricate interplay between anticipating stochastic calculus and nonlinear utilities, which may yield non-intuitive results from the financial viewpoint.
