A monetary value for initial information in portfolio optimization
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Publication:1424701
DOI10.1007/s007800200075zbMath1035.60069OpenAlexW1998295692MaRDI QIDQ1424701
Dirk Becherer, Jürgen Amendinger, Martin Schweizer
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 informationutility maximizationinitial enlargement of filtrationspredictable representation propertymartingale preserving measure
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Measures of information, entropy (94A17) Portfolio theory (91G10)
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