The financial value of knowing the distribution of stock prices in discrete market models
| Autor: | Berend Coster, Fabrice Baudoin, Phanuel Mariano, Skylyn Brock, Mary Wishart, Ryan Craver, Ayelet Amiran, Ugonna Ezeaka |
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| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Logarithm
General Mathematics portfolio optimization insider trading 91G10 FOS: Economics and business Portfolio Management (q-fin.PM) FOS: Mathematics Econometrics financial value of weak information Insider trading Finite set Quantitative Finance - Portfolio Management Stock (geology) Mathematics Complete market Mathematical finance Probability (math.PR) Mathematical Finance (q-fin.MF) Binomial distribution mathematical finance discrete market models Quantitative Finance - Mathematical Finance anticipation Portfolio optimization Mathematics - Probability |
| Zdroj: | Involve 12, no. 5 (2019), 883-899 |
| Popis: | An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed. Undergraduate summer research funded by REU NSF grant DMS 1659643 |
| Databáze: | OpenAIRE |
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