 Quantifying the value of initial investment informationJürgen Amendinger, Dirk Becherer and Martin Schweizer No 2000,41, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Abstract: We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is defined as the amount of money that he can pay for G such that this cost is balanced out by the informational advantage in terms of maximal expected utility. We calculate this value for common utility functions in the setting of a complete market modeled by general semimartingales. The main tools are results of independent interest, namely a martingale preserving change of measure and a martingale representation theorem for initially enlarged filtrations. Keywords: utility maximization; value of information; initial enlargement of filtrations; Martingale preserving measure; predietable representation property (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200041 Access Statistics for this paper More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC. |
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