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

Bernardo D'Auria; José Antonio Salmerón; Bernardo D'Auria; José Antonio Salmerón

doi:10.3934/mbe.2023362

Mathematical Biosciences and Engineering

2023, Volume 20, Issue 5: 8305-8307. doi: 10.3934/mbe.2023362

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Correction

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

1.
Department of Mathematics "Tullio Levi-Civita", University of Padova, 35131, Padova PD, Italy
2.
Department of Statistics, University Carlos Ⅲ of Madrid, 28911, Leganés, Spain
Correction of: Mathematical Biosciences and Engineering 17: 998-1019

Received: 23 November 2022 Revised: 23 November 2022 Accepted: 21 February 2023 Published: 28 February 2023

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.
- optimal portfolio,
- enlargement of filtration,
- arbitrage,
- no free lunch vanishing risk
Citation: Bernardo D'Auria, José Antonio Salmerón. A note on Insider information and its relation with the arbitrage condition and the utility maximization problem[J]. Mathematical Biosciences and Engineering, 2023, 20(5): 8305-8307. doi: 10.3934/mbe.2023362

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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.

References

[1]	B. D'Auria, J. A. Salmerón, Insider information and its relation with the arbitrage condition and the utility maximization problem, Math. Biosci. Eng., 17 (2020), 998–1019. 10.3934/mbe.2020053 doi: 10.3934/mbe.2020053

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