Short communication: the price of information
From MaRDI portal
Publication:6606845
DOI10.1137/24m1644791zbMath1544.91289MaRDI QIDQ6606845
Sebastian Jaimungal, Xiaofei Shi
Publication date: 17 September 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal selling of an asset under incomplete information
- Asymmetric information in fads models
- Optimal investment under partial information
- A simulation approach to optimal stopping under partial information
- Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
- A monetary value for initial information in portfolio optimization
- Additional logarithmic utility of an insider
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- Optimal stopping of a Brownian bridge with an unknown pinning point
- The value of informational arbitrage
- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
- FBSDE approach to utility portfolio selection in a market with random parameters
- Portfolio selection under incomplete information
- Representation of Gaussian processes equivalent to Wiener process
- Finite Horizon Decision Timing with Partially Observable Poisson Processes
- Continuous Auctions and Insider Trading
- Anticipative portfolio optimization
- Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management
- Should Commodity Investors Follow Commodities' Prices?
- Trading algorithms with learning in latent alpha models
- Radon-Nikodym Derivatives of Gaussian Measures
- Portfolio optimization with unobservable Markov-modulated drift process
- Backward SDEs for control with partial information
- Dequantization of the Dirac monopole
This page was built for publication: Short communication: the price of information
