The Value of Information for Optimal Portfolio Management

Katia Colaneri (), Stefano Herzel () and Marco Nicolosi ()
Additional contact information
Katia Colaneri: School of Mathematics, University of Leeds
Stefano Herzel: Department of Economics and Finance, University of Rome Tor Vergata
Marco Nicolosi: Department of Economics, University of Perugia

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 225-229 from Springer

Abstract: Abstract We study the value of information for a manager who invests in a stock market to optimize the utility of her future wealth. We consider an incomplete financial market model with a mean reverting market price of risk that cannot be directly observed by the manager. The available information is represented by the filtration generated by the stock price process. We solve the classical Merton problem for an incomplete market under partial information by means of filtering techniques and the martingale approach.

Keywords: Utility maximization; Merton model; Partial information; Martingale approach (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_41

Ordering information: This item can be ordered from
http://www.springer.com/9783319898247

DOI: 10.1007/978-3-319-89824-7_41

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().