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Nonlinear Mathematics for Uncertainty and its Applications pp 263–270Cite as

An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend

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Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 100))

Abstract

This paper discusses an insider’s optimal portfolio with dividend, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. The stochastic calculus of the forward integral is employed. The explicit solution in a special case is obtained.

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Author information

Authors and Affiliations

  1. School of Mathematics and Physics, Anhui Polytechnic University, Anhui, Wuhu, 241000, P.R. China

    Yong Liang, Weiyin Fei, Hongjian Liu & Dengfeng Xia

Authors
  1. Yong Liang
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  2. Weiyin Fei
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  3. Hongjian Liu
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  4. Dengfeng Xia
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Editor information

Editors and Affiliations

  1. College of Applied Sciences, Beijing University of Technology, 100 Pingleyuan, 100124, Chaoyang District, Beijing, P.R. China

    Shoumei Li , Xia Wang  & Li Guan ,  & 

  2. Department of Systems Design and Informatics, Kyushu Institute of Technology, 680-4, Kawazu, 820-8502, lizuka, Japan

    Yoshiaki Okazaki

  3. Department of Mathematics, Shinshu University, 4-17-1 Wakasato, 380-8553, Nagano, Japan

    Jun Kawabe

  4. Department of Computational Intelligence and Systems Science, Tokyo Institute of Technology, 4259-G3-47, Nagatsuta, Midori-ku, 226-8502, Yokohama, Japan

    Toshiaki Murofushi

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© 2011 Springer-Verlag Berlin Heidelberg

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Liang, Y., Fei, W., Liu, H., Xia, D. (2011). An Application of the Forward Integral to an Insider’s Optimal Portfolio with the Dividend. In: Li, S., Wang, X., Okazaki, Y., Kawabe, J., Murofushi, T., Guan, L. (eds) Nonlinear Mathematics for Uncertainty and its Applications. Advances in Intelligent and Soft Computing, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22833-9_31

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  • DOI: https://doi.org/10.1007/978-3-642-22833-9_31

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-22832-2

  • Online ISBN: 978-3-642-22833-9

  • eBook Packages: EngineeringEngineering (R0)

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