We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates (FLVR)(H(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.
Erratum: A note on Insider information and its relation with the arbitrage condition and the utility maximization problem (Math. Biosci. Eng. (2020) 17 (998-1019) DOI: 10.3934/mbe.2020053)
D'Auria B.
;
2023
Abstract
We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates (FLVR)(H(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.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
10.3934_mbe.2023362.pdf
accesso aperto
Tipologia:
Published (publisher's version)
Licenza:
Creative commons
Dimensione
590.35 kB
Formato
Adobe PDF
|
590.35 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
