×

Optimal trading strategy with partial information and the value of information: the simplified and generalized models. (English) Zbl 1152.91558

Summary: 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.

MSC:

91G10 Portfolio theory
91B44 Economics of information
PDFBibTeX XMLCite
Full Text: DOI

References:

[1] DOI: 10.1016/0022-0531(89)90067-7 · Zbl 0678.90011 · doi:10.1016/0022-0531(89)90067-7
[2] DOI: 10.1137/0327063 · Zbl 0701.90008 · doi:10.1137/0327063
[3] DOI: 10.1016/0304-4149(94)00073-3 · Zbl 0834.90022 · doi:10.1016/0304-4149(94)00073-3
[4] DOI: 10.1016/S0304-4149(98)00032-5 · Zbl 0934.91021 · doi:10.1016/S0304-4149(98)00032-5
[5] DOI: 10.1080/17442509108833682 · Zbl 0727.60070 · doi:10.1080/17442509108833682
[6] DOI: 10.2307/2328506 · doi:10.2307/2328506
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.