A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA
We study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full information. We assume that...
Main Authors: | Zhaojun Yang, Christian-Oliver Ewald, Wen-Kai Wang |
---|---|
Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2011-01-01
|
Series: | Journal of Probability and Statistics |
Online Access: | http://dx.doi.org/10.1155/2011/238623 |
Similar Items
-
Performance evaluation of portfolio insurance strategies using Prospect Theory and CRRA
by: Ya- Ting Yang, et al.
Published: (2011) -
A First-Price Sealed-Bid Asymmetric Auction When Two Bidders Have Respective CRRA and General Utility Functions
by: Mingming Gong, et al.
Published: (2021-01-01) -
Continuous Time Evolutionary Market Dynamics: The Case of Fix-Mix Strategies
by: Zhaojun Yang, et al.
Published: (2008-05-01) -
Logged out: Ownership, exclusion and public value in the digital data and information commons
by: Barbara Prainsack
Published: (2019-02-01) -
Portfolio optimization in financial markets with partial information
by: Roland, Sébastien
Published: (2008)