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A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information : The Cases of Log-Utility and CRRA
Joint Authors
Wang, Wen-Kai
Yang, Zhaojun
Ewald, Christian-Oliver
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-23, 23 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-08-04
Country of Publication
Egypt
No. of Pages
23
Main Subjects
Abstract EN
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 the drift term of the risky asset is a dynamic process of general linear type and that the two levels of observation correspond to whether this drift term is observable or not.
Applying methods from stochastic filtering theory we derive an analytical tractable formula for the value of information in the case of logarithmic utility.
For the case of constant relative risk aversion (CRRA) we derive a semianalytical formula, which uses as an input the numerical solution of a system of ODEs.
For both cases we present a comparative analysis.
American Psychological Association (APA)
Yang, Zhaojun& Ewald, Christian-Oliver& Wang, Wen-Kai. 2010. A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information : The Cases of Log-Utility and CRRA. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-23.
https://search.emarefa.net/detail/BIM-456373
Modern Language Association (MLA)
Yang, Zhaojun…[et al.]. A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information : The Cases of Log-Utility and CRRA. Journal of Probability and Statistics No. 2011 (2011), pp.1-23.
https://search.emarefa.net/detail/BIM-456373
American Medical Association (AMA)
Yang, Zhaojun& Ewald, Christian-Oliver& Wang, Wen-Kai. A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information : The Cases of Log-Utility and CRRA. Journal of Probability and Statistics. 2010. Vol. 2011, no. 2011, pp.1-23.
https://search.emarefa.net/detail/BIM-456373
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-456373