Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider
In the theory of portfolio selection, there are few methods that effectively address the combined challenge of insider information and model uncertainty, despite numerous methods proposed for each individually. This paper studies the problem of the robust optimal investment for an insider under mode...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/20/4378 |