Insider Models with Finite Utility in Markets with Jumps

Insider Models with Finite Utility in Markets with Jumps In this article we consider, under a Lévy process model for the stock price, the utility optimization problem for an insider agent whose additional information is the final price of the stock blurred with an additional independent noise which vanishes as the final time approaches. Our main interest is establishing conditions under which the utility of the insider is finite. Mathematically, the problem entails the study of a “progressive” enlargement of filtration with respect to random measures. We study the jump structure of the process which leads to the conclusion that in most cases the utility of the insider is finite and his optimal portfolio is bounded. This can be explained financially by the high risks involved in models with jumps. Applied Mathematics and Optimization Springer Journals

Insider Models with Finite Utility in Markets with Jumps

Loading next page...
Copyright © 2011 by Springer Science+Business Media, LLC
Mathematics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Calculus of Variations and Optimal Control; Optimization; Numerical and Computational Physics; Systems Theory, Control
Publisher site
See Article on Publisher Site


You’re reading a free preview. Subscribe to read the entire article.

DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches


Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.



billed annually
Start Free Trial

14-day Free Trial