{"title":"一种针对内幕交易的白噪音方法","authors":"B. Oksendal, E. Røse","doi":"10.1142/9789813220942_0006","DOIUrl":null,"url":null,"abstract":"We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"271 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"11","resultStr":"{\"title\":\"A white noise approach to insider trading\",\"authors\":\"B. Oksendal, E. Røse\",\"doi\":\"10.1142/9789813220942_0006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.\",\"PeriodicalId\":286833,\"journal\":{\"name\":\"arXiv: Portfolio Management\",\"volume\":\"271 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-08-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"11\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv: Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/9789813220942_0006\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/9789813220942_0006","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.
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