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具边信息的最优效用及其影响

Optimal Utility with Side Information and its Affect
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摘要 利用测度变换及随机滤波考察了Q-鞅{■_t:=E^Q[∧_T/g_t]}的分解.然后利用这种分解考察了受随机因素影响的股票价格模型中投资者存在边信息和不存在边信息时的效用问题,给出了最优效用的一种形式,从而证明了边信息的影响有限. We first consider the problem of representation of the Q-martingale {A↓t:=EQ[A↓Tr|Gt]}. Then we consider a market of a stock price affected by a stochastic factor, in which there exists a insider who only knows the price information and a side information. We consider his problem of optimal utility for terminal wealth with and without side-information, and obtain a form of optimal terminal wealth in two cases. Finally, we compare these two cases for the logarithmic utility, and analyze the influence of the 'side information'.
出处 《应用概率统计》 CSCD 北大核心 2007年第1期84-90,共7页 Chinese Journal of Applied Probability and Statistics
基金 国家自然科学基金项目(10171066和70671069)资助.
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参考文献5

  • 1Pikovsky, I., Karatzas, I., Anticipative portfolio optimization, Adv. Appl. Probab., 28(1996), 1095-1122.
  • 2Amendinger, J., Imkeller, P., Schweizer, M., Additional logarithmic utility of an insider, Stochastic Process. Appl., 75(1998), 263-286.
  • 3Amendinger, J., Martingale representation theorems for initially enlarged filtrations, Stochastic Process. Appl., 89(2000), 101-116.
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