Optimal investment with inside information and parameter uncertainty
An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenari...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2010
|