Optimal investment with inside information and parameter uncertainty
Albina Danilova, Michael Monoyios, Andrew Ng
TL;DR
This paper investigates optimal investment strategies considering both inside information and uncertainty in model parameters, aiming to improve decision-making under complex market conditions.
Contribution
It introduces a novel framework that integrates inside information with parameter uncertainty in optimal investment models.
Findings
New model incorporating inside information and parameter uncertainty
Analytical solutions for optimal strategies under the combined uncertainties
Insights into the impact of inside information on investment performance
Abstract
This paper has been withdrawn by the authors pending corrections.
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Taxonomy
TopicsFinancial Markets and Investment Strategies · Stochastic processes and financial applications · Market Dynamics and Volatility