A monetary value for initial information in portfolio optimization
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Publication:1424701
DOI10.1007/s007800200075zbMath1035.60069MaRDI QIDQ1424701
Martin Schweizer, Dirk Becherer, Jürgen Amendinger
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/24
value of information; utility maximization; initial enlargement of filtrations; predictable representation property; martingale preserving measure
91B16: Utility theory
60H30: Applications of stochastic analysis (to PDEs, etc.)
94A17: Measures of information, entropy
91G10: Portfolio theory
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