5 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.MF2019★ 5 cited
Insider information and its relation with the arbitrage condition and the utility maximization problem
Bernardo D'Auria, José Antonio Salmerón
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presen…
math.PR2018★ 1 cited
A short note on "Anticipative portfolio optimization"
Bernardo D'Auria, José Antonio Salmerón
In 1996, Pikovsky and Karatzas did one of the earliest studies on portfolio optimization problems in presence of insider information. They were able to successfully show that the k…