Insider information and its relation with the arbitrage condition and the utility maximization problem Working Papers uri icon

authors

  • D AURIA, BERNARDO
  • SALMERON GARRIDO, JOSE ANTONIO

publication date

  • 2019

series title

  • Working paper. Statistics and Econometrics

series number

  • 19-11

keywords

  • optimal portfolio; enlargement of filtration; value of the information; arbitrage; no free lunch vanishing risk; equivalent martingale measure