Portfolio optimization for an insider under partial information
In this article, we seek to solve the problem of stochastic filtering of the unobserved drift of the stock price in the presence of privileged information. Working within a finite time investment horizon, the privileged information which is a function of the future value of the stock price, is model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-09-01
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| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2468227621002623 |