caa a22 4500 445842172 CHVBK 20180317145348.0 cr unu---uuuuu 170323e20111001xx s 000 0 eng 10.1007/s00245-011-9137-x doi (NATIONALLICENCE)springer-10.1007/s00245-011-9137-x Insider Models with Finite Utility in Markets with Jumps [Elektronische Daten] [Arturo Kohatsu-Higa, Makoto Yamazato] In this article we consider, under a Lévy process model for the stock price, the utility optimization problem for an insider agent whose additional information is the final price of the stock blurred with an additional independent noise which vanishes as the final time approaches. Our main interest is establishing conditions under which the utility of the insider is finite. Mathematically, the problem entails the study of a "progressive” enlargement of filtration with respect to random measures. We study the jump structure of the process which leads to the conclusion that in most cases the utility of the insider is finite and his optimal portfolio is bounded. This can be explained financially by the high risks involved in models with jumps. Springer Science+Business Media, LLC, 2011 Asymmetric markets nationallicence Markets driven by Lévy processes nationallicence Enlargement of filtrations nationallicence Kohatsu-Higa Arturo Department of Mathematical Sciences, Ritsumeikan University, 525-8577, 1-1-1 Nojihigashi, Kusatsu, Shiga, Japan aut Yamazato Makoto Department of Mathematics, Faculty of Science, University of the Ryukyus, 903-0213, Senbaru 1, Nishihara-cho, Okinawa, Japan aut Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 217-255 0095-4616 64:2<217 2011 64 245 https://doi.org/10.1007/s00245-011-9137-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-011-9137-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kohatsu-Higa Arturo Department of Mathematical Sciences, Ritsumeikan University, 525-8577, 1-1-1 Nojihigashi, Kusatsu, Shiga, Japan aut NATIONALLICENCE 700 1- Yamazato Makoto Department of Mathematics, Faculty of Science, University of the Ryukyus, 903-0213, Senbaru 1, Nishihara-cho, Okinawa, Japan aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 217-255 0095-4616 64:2<217 2011 64 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer