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Decoding Inside Information
Strategy Financial Markets Forecasting and Prediction Law Enforcement Opportunities
2015/5/13
Using a simple empirical strategy, we decode the information in insider trading. Exploiting the fact that insiders trade for a variety of reasons, we show that there is predictable, identifiable "rout...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Diversification and limited information in the Kelly game
Portfolio Management Data Analysis Statistics Probability Physics Society Applications
2010/12/16
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. W...