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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