Weak Insider Trading and Behavioral Finance

作者：Campi L^*; Del Vigna M

来源：SIAM Journal on Financial Mathematics, 2012, 3(1): 242-279.

DOI：10.1137/110824693

• weak information
• insider trading
• behavioral finance
• loss aversion
• probability distortion
• minimal probability measure
• Yaari%26apos
• s dual theory of choice

In this paper, we study the optimal portfolio selection problem for weakly informed traders in the sense of Baudoin [Stochastic Process. Appl., 100 (2002), pp. 109-145]. Apart from expected utility maximizers, we consider investors with other preference paradigms. In particular, we consider agents following cumulative prospect theory as developed by Tversky and Kahneman [J. Risk Uncertainty, 5 (1992), pp. 297-323] as well as Yaari%26apos;s dual theory of choice [Econometrica, 55 (1987), pp. 95-115]. We solve the corresponding optimization problems, in both noninformed and informed case, i.e., when the agent has an additional weak information. Finally, comparison results among investors with different preferences and information sets are given, together with explicit examples. In particular, the insider%26apos;s gain, i.e., the difference between the optimal values of an informed and a noninformed investor, is explicitly computed.

• 出版日期2012