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Asymmetric information in fads models in Lâevy markets

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Date Issued:
2009
Summary:
Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
Title: Asymmetric information in fads models in Lâevy markets.
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Name(s): Buckley, Winston S.
Florida Atlantic University
Charles E. Schmidt College of Science
Department of Mathematical Sciences
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: monographic
Date Issued: 2009
Publisher: Florida Atlantic University
Physical Form: print
Extent: xiv, 272 leaves : ill. ; 29 cm.
Language(s): English
Summary: Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
Identifier: 746902885 (oclc), 3337187 (digitool), FADT3337187 (IID), fau:3823 (fedora)
Note(s): by Winston S. Buckley.
Thesis (Ph.D.)--Florida Atlantic University, 2009.
Bibliography: leaves 268-272.
Subject(s): Investments -- Mathematical models
Capital market -- Mathematical models
Finance -- Mathematical models
Information theory in economics
Capital asset pricing model
Lâevy processes
Held by: FBoU FABOC
Persistent Link to This Record: http://purl.flvc.org/FAU/3337187
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Owner Institution: FAU