An anticipating calculus approach to the utility maximization of an insider

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 171-185

  León, Jorge A ^c   Navarro, Reyla ^a   Nualart, David ^b  

^a UNIVERSIDAD DE LAS AMÉRICAS PUEBLA   (Mexico)

^b UNIVERSITY OF BARCELONA   (Spain)

^c NONE

Author keywords

Derivative operator in the Malliavin calculus sense; Expected utility; Forward and Skorohod integrals; Optimal portfolio

Indexed keywords

EID: 17444411277     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00012     Document Type: Conference Paper

References (17)

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