Abstract
We derive utility maximizing portfolios and consumption rates in electricity futures markets under anticipative information modeled by enlarged filtrations. The emerging optimization exercises are solved by point-wise maximization and a sufficient stochastic maximum principle. We provide rigorous economical interpretation of our mathematical results and distinguish optimal trading behavior for small and large investors with insider knowledge. On the mathematical side we are concerned with jump processes, (B)SDEs, enlarged filtrations, forward integrals, stochastic maximum principles and Malliavin calculus.
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