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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 technique and the martingale approach.

The value of information for optimal portfolio management

Marco Nicolosi
2018-01-01

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 technique and the martingale approach.
2018
Inglese
Corazza M. Durbán M. Grané A. Perna C. Sibillo M.
Mathematical and Statistical Methods for Actuarial Sciences and Finance
225
229
5
978-3-319-89823-0
https://www.springer.com/gp/book/9783319898230#aboutAuthors
Springer
Comitato scientifico
Portfolio management
incomplete market
filtering
learning
mean-reverting process
2-s2.0-85104151113
3
2 Contributo in Volume::2.1 Contributo in volume (Capitolo o Saggio)
268
none
Colaneri, Katia; Herzel, Stefano; Nicolosi, Marco
info:eu-repo/semantics/bookPart
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14085/4738
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