| dc.date.accessioned | 2013-03-12T08:19:11Z | |
| dc.date.available | 2013-03-12T08:19:11Z | |
| dc.date.issued | 2006 | en_US |
| dc.date.submitted | 2009-11-18 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10539 | |
| dc.description.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 the 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. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2006). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Optimal Portfolio, Partial Information and Malliavin Calculus. | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-18 | en_US |
| dc.rights.holder | Copyright 2006 The Author(s) | |
| dc.creator.author | Di Nunno, Giulia | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23537 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96971 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10539/1/pm10-06.pdf | |