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Mathematics and Financial Economics

Erschienen in:

05.05.2018

Arbitrage and utility maximization in market models with an insider

verfasst von: Huy N. Chau, Wolfgang J. Runggaldier, Peter Tankov

Erschienen in: Mathematics and Financial Economics | Ausgabe 4/2018

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Abstract

We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses an additional information in the form of an \(\mathscr {F}_T\)-measurable discrete random variable G, we give criteria for the no unbounded profits with bounded risk property to hold, characterize optimal arbitrage strategies, and prove duality results for the utility maximization problem faced by the insider. Examples of markets satisfying NUPBR yet admitting arbitrage opportunities are provided. For the case when G is a continuous random variable, we consider the notion of no asymptotic arbitrage of the first kind (NAA1) and give an explicit construction for unbounded profits if NAA1 fails.

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Titel: Arbitrage and utility maximization in market models with an insider
verfasst von: Huy N. Chau
Wolfgang J. Runggaldier
Peter Tankov
Publikationsdatum: 05.05.2018
Verlag: Springer Berlin Heidelberg
Erschienen in: Mathematics and Financial Economics / Ausgabe 4/2018
Print ISSN: 1862-9679
Elektronische ISSN: 1862-9660
DOI: https://doi.org/10.1007/s11579-018-0217-4

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