Arbeitspapier
Additional logarithmic utility of an insider
In this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public information flow, the insider possesses from the beginning extra information about the outcome of some random variable G, e.g., the future price of a stock. We solve the two optimization problems explicitly and rewrite the insider's additional expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the finiteness of this additional utility and to show that it is basically given by the entropy of G.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1998,25
- Klassifikation
-
Wirtschaft
- Thema
-
insider trading
entropy
utility maximization
initial enlargement of filtrations
relative entropy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Amendinger, Jürgen
Imkeller, Peter
Schweizer, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1998
- Handle
- URN
-
urn:nbn:de:kobv:11-10056711
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Amendinger, Jürgen
- Imkeller, Peter
- Schweizer, Martin
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1998
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