OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS (Q3523599): Difference between revisions
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| Property / cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process / rank | |||
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| Property / cites work: Optimization Problems in the Theory of Continuous Trading / rank | |||
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| Property / cites work: Utility maximization with partial information / rank | |||
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| Property / cites work: Optimal trading strategy for an investor: the case of partial information / rank | |||
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| Property / cites work: A generalized clark representation formula, with application to optimal portfolios / rank | |||
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Revision as of 15:01, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS |
scientific article |
Statements
OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS (English)
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3 September 2008
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utility function
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security price and its filtration
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partial and full information
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filter
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trading strategy
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Clark's formula
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value of information
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