The value of information for optimal portfolio management

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 ]

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 be observed by the manager, and it is driven by  different risk factors from those directly affecting  the stocks. In a nutshell, what  we consider  is  the classical Merton problem for an incomplete market with partial information.