The financial value of a weak information on a financial market

被引：0
|
作者：
Fabrice Baudoin
Laurent Nguyen-Ngoc
机构：
[1] Université Paul Sabatier Toulouse 3,Laboratoire de Probabilités et Statistiques
[2] Universités de Paris VI & VII,Laboratoire de Probabilités et Modéles Aléatoires, CRS
来源：
Finance and Stochastics | 2004年 / 8卷
关键词：
Financial value of an anticipation; minimal Markov models; portfolio optimization; weak information;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the selected utility function. Throughout the paper, Markovian models are studied in details as canonical examples.
引用
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页码：415 / 435
页数：20
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