文章基本信息

标题：A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA
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作者：Zhaojun Yang ; Christian-Oliver Ewald ; Wen-Kai Wang 等
期刊名称：Journal of Probability and Statistics
印刷版ISSN：1687-952X
电子版ISSN：1687-9538
出版年度：2011
卷号：2011
DOI：10.1155/2011/238623
出版社：Hindawi Publishing Corporation
摘要：We study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full information. We assume that the drift term of the risky asset is a dynamic process of general linear type and that the two levels of observation correspond to whether this drift term is observable or not. Applying methods from stochastic filtering theory we derive an analytical tractable formula for the value of information in the case of logarithmic utility. For the case of constant relative risk aversion (CRRA) we derive a semianalytical formula, which uses as an input the numerical solution of a system of ODEs. For both cases we present a comparative analysis.