论文标题
内部信息中不同预期积分的最佳投资组合
Optimal portfolios for different anticipating integrals under insider information
论文作者
论文摘要
我们考虑了由于内部信息的存在而导致的，在金融市场中，简单的投资组合优化问题的不适当版本。我们通过预测随机演算进行分析，并通过Russo-Vallois向前，Ayed-Kuo和Hitsuda-Skorokhod积分进行比较。我们计算每种情况的最佳投资组合，目的是在这些积分之间进行比较，以阐明它们在这种类型的问题中的潜在用途。我们的结果表明，尽管前进积分产生了财务意义的投资组合，但Ayed-Kuo和Hitsuda-Skorokhod积分并未为此问题提供适当的投资策略。
We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the Ayed-Kuo, and the Hitsuda-Skorokhod integrals. We compute the optimal portfolio for each of these cases with the aim of establishing a comparison between these integrals in order to clarify their potential use in this type of problem. Our results give a partial indication that, while the forward integral yields a portfolio that is financially meaningful, the Ayed-Kuo and the Hitsuda-Skorokhod integrals do not provide an appropriate investment strategy for this problem.
