Publication Date:
2018
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.
Iris type:
2.1 Contributo in volume (Capitolo o Saggio)
Keywords:
Portfolio management; incomplete market; filtering; learning; mean-reverting process
List of contributors:
Colaneri, Katia; Herzel, Stefano; Nicolosi, Marco
Book title:
Mathematical and Statistical Methods for Actuarial Sciences and Finance