A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA

DOI10.1155/2011/238623zbMath1200.91306OpenAlexW3122036508WikidataQ58692001 ScholiaQ58692001MaRDI QIDQ609732

Zhaojun Yang, Christian-Oliver Ewald, Wen-Kai Wang

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225179

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Filtering in stochastic control theory (93E11) Utility theory (91B16)

Related Items

Welfare effects of information and rationality in portfolio decisions under parameter uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• A monetary value for initial information in portfolio optimization
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Optimal portfolio in partially observed stochastic volatility models.
• Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
• OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET