循序扩大代数流下内幕交易者的对数期望效用最大化

Logarithmic utility maximization for insiders in progressively enlarged filtrations

本文研究循序扩大代数流下内幕交易者的对数期望效用最大化问题,其中内幕交易者拥有的额外信息由随机时间τ表示.本文利用市场的可料特征和随机时间完全刻画内幕交易者的最优策略,并且得到市场局部鞅密度的显式形式.本文的主要定理推广Goll和Kallsen (2000, 2003)关于内幕交易的研究结果.

In this paper, the logarithmic utility maximization problem for an insider in progressive enlargement of filtrations is investigated where the insider possesses some additional information represented by a random time τ. The optimal strategy is completely characterized by the predictable characteristics of the market and the structure of the random time and the local martingale density is explicitly constructed. The main theorem extends Goll and Kallsen(2000, 2003) to insider trading framework.