Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

The financial value of a weak information flow

Auteur(s):

Code(s) de Classification MSC:

Résumé: We define and study the notion of static and dynamic weak anticipation in financial markets, both complete and incomplete. We compute the minimal gain in utility provided by such information and characterize a minimal associated probability measure. It is remarkable that this probability is independent of the utility function used by the trader both in the static and dynamic case.

Mots Clés: Portfolio optimization ; Incomplete markets ; Weak information ; Weak information flow ; Additional utility ; Conditioned stochastic differential equation ; Dynamic conditioning ; Schrödinger processes

Date: 2002-05-06

Prépublication numéro: PMA-724

Pdf file : PMA-724.pdf