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A short note on "Anticipative Portfolio Optimization"

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URI: https://hdl.handle.net/10016/27487
ISSN: 2387-0303
UXXI: DT/0000001629
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ws201804.pdf (243.28 KB)
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2018-09
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Abstract
In 1996, Pikovsky and Karatzas did one of the earliest studies on portfolio optimization problems in presence of insider information. They were able to successfully show that the knowledge of the stock price at future time is an insider information with associated unbounded value. However, when the insider information only gives an interval containing the future value of the stock price, they couldn't prove that the value of the information is finite. They made a conjecture of this result, still open according to our knowledge, and tried to convince about its validity by showing some numerical approximations. We close this conjecture by giving a proof that indeed the insider information in this case has a finite value.
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Optimal portfolio, Enlargement of filtrations, Value of the information
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DES - Working Papers. Statistics and Econometrics. WS