The Value of Information for Optimal Portfolio Management

DOI10.1007/978-3-319-89824-7_41zbMath1397.62522OpenAlexW2884944124MaRDI QIDQ4689049

Katia Colaneri, Stefano Herzel, Marco Nicolosi

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_41

zbMATH Keywords

utility maximizationmartingale approachpartial informationMerton model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Optimal consumption and investment strategies with partial and private information in a multi-asset setting

Cites Work

• Unnamed Item
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

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