Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market

Ewald, C.-O. (2005) Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market. International Journal of Theoretical and Applied Finance, 8(3), pp. 301-319. (doi:10.1142/S0219024905003025)

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Publisher's URL: http://dx.doi.org/10.1142/S0219024905003025

Abstract

We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider strategies for a general stochastic volatility model but also apply the methods to explicit examples. We further discuss how the Heston model fits into this context.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Ewald, Professor Christian
Authors: Ewald, C.-O.
Subjects:H Social Sciences > HG Finance
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:International Journal of Theoretical and Applied Finance
ISSN:0219-0249

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