OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
2001 ◽
Vol 04
(05)
◽
pp. 759-772
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Keyword(s):
In this paper we deal with the optimization problem of maximizing the expected total utility from consumption under the case of partial information. By means of the martingale method and filter theory, we have acquired an explicit solution to optimal investment and consumption determined by the security prices for a special security price process. Furthermore, we establish a simple formula for valuing information, provided that the utility function is logarithmic. In the end, we extend most of the conclusions to a general situation where both the interest rate and dispersion coefficient of risk security follow some stochastic processes.
2016 ◽
Vol 83
(1)
◽
pp. 87-107
◽
2016 ◽
Vol 2016
◽
pp. 1-17
◽
2019 ◽
Vol 37
(1)
◽
pp. 309-338
2006 ◽
Vol 10
(3)
◽
pp. 395-426
◽