The value of knowing the market price of risk

DOI10.1007/s10479-020-03596-7zbMath1476.91144arXiv1909.07837OpenAlexW3140112672MaRDI QIDQ2241058

Marco Nicolosi, Katia Colaneri, Stefano Herzel

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.07837

zbMATH Keywords

portfolio optimizationpartial informationmartingale methodpower utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (2)

Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Implicit incentives for fund managers with partial information

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