Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting

被引：0

作者：

Santacroce, M. ^{[1
]}

Sasso, E. ^{[2
]}

Trivellato, B. ^{[1
]}

Covello, D. ^{[2
]}

机构：

[1] Politecn Torino, Dipartimento Sci Matemat GL Lagrange, Turin, Italy

[2] Univ Genoa, Dipartimento Matemat, I-16146 Genoa, Italy

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2015年 / 33卷 / 03期

关键词：

Information sufficiency; Basis risk model; Power utility maximization problem; Backward stochastic differential equation; Stochastic correlation; OPTIMAL INVESTMENT; PORTFOLIO; VALUATION;

D O I：

10.1080/07362994.2015.1009758

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider the problem of expected power utility maximization from terminal wealth in diffusion market models under partial information. After obtaining novel neat expressions for the value-process and for the optimal strategy, the issue of information sufficiency is addressed. In particular, necessary and sufficient conditions that guarantee that the partial information optimal strategy is still optimal when having access to all market information, are provided.

引用

页码：493 / 509

页数：17

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