Optimal consumption and portfolio for an insider in a market with jumps | Zendy

Delphine David | Zendy; Yeliz Yolcu Okur | Zendy

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Optimal consumption and portfolio for an insider in a market with jumps

Author(s) -

Delphine David,

Yeliz Yolcu Okur

Publication year - 2009

Publication title -

communications on stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.224

H-Index - 10

eISSN - 2688-6669

pISSN - 0973-9599

DOI - 10.31390/cosa.3.1.07

Subject(s) - portfolio , insider , consumption (sociology) , economics , financial economics , business , art , philosophy , epistemology , aesthetics

We examine a stochastic optimal control problem in a financial market driven by a Levy process with filtration F = (Ft)t2(0,T). We assume that in the market there are two kinds of investors with dierent levels of information: an uninformed agent whose information coincides with the nat- ural filtration of the price processes and an insider who has more information than the uninformed agent. When optimal consumption and investment ex- ist, we identify some necessary conditions and find the optimal strategy by using forward integral techniques. We conclude by giving some examples.

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