Optimización de Carteras e Insider TradingCálculo estocástico, análisis computacional y aplicaciones financieras

Abstract

This thesis addresses the classical problem of portfolio optimization in a financial market where an insider trader with privileged information exists. Insider trading is a serious issue in finance, as it involves the trading of assets by individuals who have access to future information about those securities, requiring a new theoretical framework of stochastic integration due to the anticipating condition. Three new theories are analyzed, which extend the Itô theory by dealing with anticipating stochastic calculus. Several results are presented, comparing the behavior of the three integrals among themselves in financial modeling and also with respect to the classical case. The conclusion is reached that the Russo-Vallois forward integral provides a financially meaningful solution, while the others do not fully utilize the privileged information...