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. 2023 Feb 28;20(5):8305-8307.
doi: 10.3934/mbe.2023362.

A note on Insider information and its relation with the arbitrage condition and the utility maximization problem

Bernardo D'Auria  1 , José Antonio Salmerón  2
Affiliations
Free article

A note on Insider information and its relation with the arbitrage condition and the utility maximization problem

Bernardo D'Auria et al. Math Biosci Eng. .
Free article

Abstract

We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates $ (FLVR)_{ \mathcal{H}(\mathbb{G})} $. However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called buy-and-hold.

Keywords: arbitrage; enlargement of filtration; no free lunch vanishing risk; optimal portfolio.

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