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dc.contributor.authorCampi, Luciano
dc.contributor.authorDel Vigna, Matteo
dc.date.accessioned2011-03-07T10:28:45Z
dc.date.available2011-03-07T10:28:45Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5727
dc.language.isoenen
dc.subjectprobability distorsionen
dc.subjectgoal reaching maximizeren
dc.subjectweak informationen
dc.subjectinsider tradingen
dc.subjectbehavioral financeen
dc.subjectYaari’s dual theory of choiceen
dc.subjectloss aversionen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.subject.classificationjelD82en
dc.subject.classificationjelD81en
dc.titleWeak Insider Trading and Behavioral Financeen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Statistics and Applied Mathematics (DipStat) Università di Pisa;Italie
dc.description.abstractenIn this paper, we study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin \cite{Baudoin_2002}. Instead of considering only expected utility maximizers, we also take into consideration different preference paradigms. In particular, we analyze a representative agent who follows the tenets of cumulative prospect theory as developed by Kahneman and Tversky \cite{Kahneman_Tversky_1992}, together with an investor acting as in Yaari's dual theory of choice \cite{Yaari_1987} and a trader who faces the so-called goal reaching maximizer. For everyone of these different maximizers, we frame the corresponding optimization problems, one in the non-informed case and the other one when the agent possesses a weak information. At last, comparison results among different types of investor and differently informed investor are given, together with explicit examples. Specifically, the insider's gain, or the difference between the optimal values of an informed and a non informed investor, is explicitly evaluated.en
dc.relation.isversionofjnlnameSIAM Journal on Financial Mathematics
dc.relation.isversionofjnlvol3
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages242-279
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/110824693
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00566185/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSIAM
dc.subject.ddclabelEconomie financièreen


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