Date of Award
2009
Document Type
Thesis
Publication Status
Version of Record
Submission Date
October 2026
Abstract
Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
Extent
xiv, 272 leaves : ill. ; 29 cm.
Recommended Citation
Buckley, Winston S., "Asymmetric information in fads models in Lâevy markets" (2009). Electronic Theses and Dissertations 2000 - 2009. 1616.
https://digitalcommons.fau.edu/etd_general_5/1616
Identifier
FADT3337187
Comments
by Winston S. Buckley.|Thesis (Ph.D.)--Florida Atlantic University, 2009.|Bibliography: leaves 268-272.|by Winston S. Buckley.