摘要：This paper evaluates the use of modeling approach that depends on Levy jump model to predict investors wealth under inefficiencies in the market, in terms of mispricing and asymmetric information where the traded stock or risky asset price is considered to be as a function of a Levy jump process (i.e. the driving Levy process has Brownian component) by specifying the asset price process in the large filtration of informed investor. Then we obtain its dynamics for uninformed investor using the Hitsuda representation of Gaussian processes assuming there are two distinct classes of rational investors. In this setting assuming power utility functions, the optimal portfolios, maximum expected power utilities and asymptotic utilities for investors from the terminal wealth are derived by the methods of optimization and stochastic calculus.
