The value of information for optimal portfolio management
Abstract
What is the value of information for a portfolio manager who invests in the stock market to optimize the utility of her future wealth? We study this problem in a market with a mean reverting market price of risk that cannot... [ view full abstract ]
Authors
- Stefano Herzel (University of Rome, Tor Vergata)
- Katia Colaneri (University of Leeds)
- Marco Nicolosi (University of Perugia)
Topic Areas
Incompleteness , Information Models , Optimal Control
Session
WE-A-DA » The Value of Information (11:30 - Wednesday, 18th July, Davis)
Presentation Files
The presenter has not uploaded any presentation files.
