OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
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Publication:3523599
DOI10.1142/S0219024901001231zbMath1152.91558OpenAlexW1984726219MaRDI QIDQ3523599
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
trading strategyvalue of informationutility functionfilterClark's formulapartial and full informationsecurity price and its filtration
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
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