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Optimal logarithmic utility and optimal portfolios for an insider in a stochastic volatility market
Department of Mathematics, Erwin Schrödinger Strasse, University of Kaiserslautern, 67663 Kaiserslautern, Germany.
2005 (English)In: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 08, no 03, p. 301-319Article in journal (Refereed) Published
Abstract [en]

We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider strategies for a general stochastic volatility model but also apply the methods to explicit examples. We further discuss how the Heston model fits into this context.

Place, publisher, year, edition, pages
World Scientific, 2005. Vol. 08, no 03, p. 301-319
Keywords [en]
Malliavin Calculus, analysis on Wiener space, insider trading, portfolio optimization
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-238914DOI: 10.1142/s0219024905003025ISI: 000217059200002Scopus ID: 2-s2.0-18644369182OAI: oai:DiVA.org:umu-238914DiVA, id: diva2:1958838
Available from: 2025-05-16 Created: 2025-05-16 Last updated: 2025-05-22Bibliographically approved

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Ewald, Christian-Oliver

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