RT Generic
T1 An anticipative Markov modulated market
A1 D'Auria, Bernardo
A1 Salmerón Garrido, José Antonio
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB 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 thatdrives 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
SN 2387-0303
YR 2022
FD 2022-02-09
LK https://hdl.handle.net/10016/34083
UL https://hdl.handle.net/10016/34083
LA eng
DS e-Archivo
RD 27 jul. 2024