A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA

نویسندگان

  • Zhaojun Yang
  • Christian-Oliver Ewald
  • Wen-Kai Wang
  • Tak Kuen Siu
چکیده

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.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

A New Method for Improving Computational Cost of Open Information Extraction Systems Using Log-Linear Model

Information extraction (IE) is a process of automatically providing a structured representation from an unstructured or semi-structured text. It is a long-standing challenge in natural language processing (NLP) which has been intensified by the increased volume of information and heterogeneity, and non-structured form of it. One of the core information extraction tasks is relation extraction wh...

متن کامل

ارزیابی مدل های پارامتریک و نیمه پارامتریک در تحلیل بقای بیماران مبتلا به سرطان معده

Background and purpose: One of the most common methods used to estimate the effects of explanatory variables on survival time, is Cox semi parametric model. However, under certain circumstances, accelerated failure time parametric models are superior to the Cox model. The purpose of this study was to assess the efficiency of parametric and semi-parametric models in survival analysis of patients...

متن کامل

A COMPARATIVE MODEL OF EVM AND PROJECT’S SCHEDULE RISK ANALYSIS USING MONTE CARLO SIMULATION

<span style="color: #000000; font-family: Tahoma, sans-serif; font-size: 13px; font-style: normal; font-variant: normal; font-weight: normal; letter-spacing: normal; line-height: normal; orphans: auto; text-align: justify; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; display: inline !important; float: none; backgro...

متن کامل

Utility Estimation of Health Status of Cancer Patients by Mapping for Cost-Utility Analysis

Background: It is important to obtain accurate information about the preferences of people for measuring quality-adjusted life years (QALYs), because it is necessary for cost-utility analysis. In this regard, mapping is a method to access this information. Therefore, the purpose of this study was to map Functional Assessment of Cancer Therapy – General (FACT-G) onto Short Form Six Dimension (SF...

متن کامل

A COMPARATIVE MODEL OF EVM AND PROJECT’S SCHEDULE RISK ANALYSIS USING MONTE CARLO SIMULATION

<span style="color: #000000; font-family: Tahoma, sans-serif; font-size: 13px; font-style: normal; font-variant: normal; font-weight: normal; letter-spacing: normal; line-height: normal; orphans: auto; text-align: justify; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; display: inline !important; float: none; backgro...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2014