Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider

In the theory of portfolio selection, there are few methods that effectively address the combined challenge of insider information and model uncertainty, despite numerous methods proposed for each individually. This paper studies the problem of the robust optimal investment for an insider under mode...

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Autori principali:	Chao Yu, Yuhan Cheng
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	MDPI AG 2023-10-01
Serie:	Mathematics
Soggetti:	Malliavin calculus forward integral robust optimal investment insider information model uncertainty stochastic maximum principle
Accesso online:	https://www.mdpi.com/2227-7390/11/20/4378
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