Vol. 12, No. 5, 2019

Download this article
Download this article For screen
For printing
Recent Issues

Volume 16
Issue 3, 365–546
Issue 2, 183–364
Issue 1, 1–182

Volume 15, 5 issues

Volume 14, 5 issues

Volume 13, 5 issues

Volume 12, 8 issues

Volume 11, 5 issues

Volume 10, 5 issues

Volume 9, 5 issues

Volume 8, 5 issues

Volume 7, 6 issues

Volume 6, 4 issues

Volume 5, 4 issues

Volume 4, 4 issues

Volume 3, 4 issues

Volume 2, 5 issues

Volume 1, 2 issues

The Journal
About the Journal
Editorial Board
Editors’ Interests
Submission Guidelines
Submission Form
Policies for Authors
Ethics Statement
ISSN: 1944-4184 (e-only)
ISSN: 1944-4176 (print)
Author Index
Coming Soon
Other MSP Journals
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

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.

anticipation, mathematical finance, financial value of weak information, portfolio optimization, discrete market models, insider trading
Mathematical Subject Classification 2010
Primary: 91G10
Received: 8 November 2018
Accepted: 26 January 2019
Published: 22 May 2019

Communicated by Jonathon Peterson
Ayelet Amiran
University of Massachusetts
Amherst, MA
United States
Fabrice Baudoin
University of Connecticut
Storrs, CT
United States
Skylyn Brock
Colorado Mesa University
Grand Junction, CO
United States
Berend Coster
University of Connecticut
Storrs, CT
United States
Ryan Craver
University of Maryland
College Park, MD
United States
Ugonna Ezeaka
University of Massachusetts
Amherst, MA
United States
Phanuel Mariano
Purdue University
West Lafayette, IN
United States
Mary Wishart
Eastern Connecticut State University
Willimantic, CT
United States