Risk-sensitive portfolio optimization problem for a large trader with inside information

• DOI: 10.1007/s13160-018-0318-8
• Publication Date: 2018-07-13T08:31:14Z
• Authors: Hiroaki Hata
• Keywords: Inside information; Insider trading

We consider a financial model that captures the characteristics of a large trader and an insider. This trader has some influence on the dynamics of prices. Moreover, the information of the insider is the final price plus a blurring noise that disappears as the final time approaches. In such a setting, we try to obtain the explicit solution of a risk-sensitive portfolio optimization problem with a finite time horizon.