Current Search: Information theory in economics (x)
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Title
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Asymmetric information in fads models in Lâevy markets.
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Creator
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Buckley, Winston S., Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
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Abstract/Description
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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...
Show moreFads 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.
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Date Issued
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2009
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PURL
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http://purl.flvc.org/FAU/3337187
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Subject Headings
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Investments, Mathematical models, Capital market, Mathematical models, Finance, Mathematical models, Information theory in economics, Capital asset pricing model, Lâevy processes
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Format
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Document (PDF)
