An anticipative Markov modulated market

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dc.contributor.author D'Auria, Bernardo
dc.contributor.author Salmeron Garrido, Jose Antonio
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2022-02-09T12:42:43Z
dc.date.available 2022-02-09T12:42:43Z
dc.date.issued 2022-02-09
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/34083
dc.description.abstract A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we assume the existence of such modulation in a market and, as a novelty, we assume that it can be anticipative with respect to the future of the Brownian motion that drives the dynamics of the risky asset. By employing these own techniques of enlargement of filtrations, we solve an optimal portfolio utility problem in both a complete and an incomplete market. Many examples of anticipative Markov chains are presented for which we compute the additional gain of the investor who has a more accurate information
dc.language.iso eng
dc.relation.ispartofseries Working paper Statistics and Econometrics
dc.relation.ispartofseries 22-01
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Optimal Portfolio
dc.subject.other Markov Modulated
dc.subject.other Regime-Switching
dc.subject.other Jacod’s hypothesis
dc.subject.other Anticipative Information
dc.subject.other Value of the information
dc.title An anticipative Markov modulated market
dc.type workingPaper
dc.subject.eciencia Estadística
dc.identifier.uxxi DT/0000001980
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