A note on Insider information and its relation with the arbitrage condition and the utility maximization problem

Abstract

We prove that Theorem 4.16 in [1] is false by constructing a strategy that generates (FLVR)H(G). However, we success to prove that the no arbitrage property still holds when the agent only plays with strategies belonging to the admissible set called buy-and-hold.

Keywords

• optimal portfolio
• enlargement of filtration
• arbitrage
• no free lunch vanishing risk