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The financial
value of knowing the distribution of stock prices in discrete
market models
Ayelet Amiran, Fabrice Baudoin, Skylyn Brock, Berend Coster, Ryan Craver, Ugonna Ezeaka, Phanuel Mariano and Mary Wishart
Vol. 12 (2019), No. 5, 883–899
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Abstract |
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An explicit formula is derived for the value of weak information in a discrete-time model that works for a wide range of utility functions, including the logarithmic utility and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. |
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Keywords
anticipation, mathematical finance, financial value of weak
information, portfolio optimization, discrete market
models, insider trading
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Mathematical Subject Classification 2010
Primary: 91G10
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Milestones
Received: 8 November 2018
Accepted: 26 January 2019
Published: 22 May 2019
Communicated by Jonathon Peterson
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Authors |
| Ayelet Amiran | |
| University of Massachusetts Amherst, MA United States |
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| Fabrice Baudoin | |
| University of Connecticut Storrs, CT United States |
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| Skylyn Brock | |
| Colorado Mesa University Grand Junction, CO United States |
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| Berend Coster | |
| University of Connecticut Storrs, CT United States |
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| Ryan Craver | |
| University of Maryland College Park, MD United States |
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| Ugonna Ezeaka | |
| University of Massachusetts Amherst, MA United States |
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| Phanuel Mariano | |
| Purdue University West Lafayette, IN United States |
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| Mary Wishart | |
| Eastern Connecticut State
University Willimantic, CT United States |
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