Short communication: the price of information
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Publication:6606845
Recommendations
- The value of knowing the market price of risk
- A monetary value for initial information in portfolio optimization
- Information pricing for portfolio optimization
- OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
- Optimal Utility with Some Additional Information
Cites work
- scientific article; zbMATH DE number 4200127 (Why is no real title available?)
- A monetary value for initial information in portfolio optimization
- A simulation approach to optimal stopping under partial information
- Additional logarithmic utility of an insider
- Anticipative portfolio optimization
- Asymmetric information in fads models
- Backward SDEs for control with partial information
- Continuous Auctions and Insider Trading
- Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
- FBSDE approach to utility portfolio selection in a market with random parameters
- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
- Finite Horizon Decision Timing with Partially Observable Poisson Processes
- Information pricing for portfolio optimization
- Informed traders
- Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
- Optimal investment under partial information
- Optimal selling of an asset under incomplete information
- Optimal stopping of a Brownian bridge with an unknown pinning point
- Ordinary differential equations with applications
- Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
- Portfolio optimization with unobservable Markov-modulated drift process
- Portfolio selection under incomplete information
- Radon-Nikodym Derivatives of Gaussian Measures
- Representation of Gaussian processes equivalent to Wiener process
- Should commodity investors follow commodities' prices?
- The value of informational arbitrage
- Trading algorithms with learning in latent alpha models
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