OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS

DOI10.1142/S0219024901001231zbMath1152.91558OpenAlexW1984726219MaRDI QIDQ3523599

Zhaojun Yang, Chao-Qun Ma

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901001231

zbMATH Keywords

trading strategyvalue of informationutility functionfilterClark's formulapartial and full informationsecurity price and its filtration

Mathematics Subject Classification ID

Economics of information (91B44) Portfolio theory (91G10)

Related Items (7)

Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates. ⋮ A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA ⋮ Consumption utility-based pricing and timing of the option to invest with partial information ⋮ Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ On optimal proportional reinsurance and investment in a hidden Markov financial market ⋮ Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information
• A generalized clark representation formula, with application to optimal portfolios
• Optimization Problems in the Theory of Continuous Trading

This page was built for publication: OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS