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: | Danilova, A, Monoyios, M, Ng, A |
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Format: | Journal article |
Language: | English |
Published: |
2010
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