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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 81, 2009 - Issue 3-4: Stochastic Analysis
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Original Articles

Optimal portfolio, partial information and Malliavin calculus

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Pages 303-322 | Received 16 Jul 2008, Accepted 08 Feb 2009, Published online: 23 Jul 2009
 

Abstract

In a market driven by Lévy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events. In this sense, we refer to this dealer as having partial information. For this generally incomplete market and within a non-Markovian setting, we give a characterization for a portfolio maximizing the expected utility of the final wealth. Techniques of Malliavin calculus are used for the analysis.

AMS (2000) Subject Classification:

Acknowledgement

We would like to thank Peter Bank and Thaleia Zariphopoulou for useful discussions.

Notes

Additional information

Notes on contributors

Bernt Øksendal

1. 1. [email protected]

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