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:
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