The financial value of knowing the distribution of stock prices in discrete market models (Q2278607)
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scientific article; zbMATH DE number 7140453
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| English | The financial value of knowing the distribution of stock prices in discrete market models |
scientific article; zbMATH DE number 7140453 |
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The financial value of knowing the distribution of stock prices in discrete market models (English)
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5 December 2019
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Much of the research into the financial value of information has been in a continuous context. This article explores the topic in a discrete setting. The authors consider the expected utility rather than expected wealth. They concentrate on three different utility functions: log, power, and exponential functions. A definition of the financial value of weak information is provided in terms of expected utility. Assuming a complete market, an expression for this measure is given as the main result of the article. The methodology is then exemplified in a binomial model of two assets.
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anticipation
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mathematical finance
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financial value of weak information
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portfolio optimization
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discrete market models
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insider trading
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0.87354213
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0.8714287
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0.8667344
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0.85783875
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