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 ]


  1. Stefano Herzel (University of Rome Tor Vergata)
  2. Katia Colaneri (University of Leeds)
  3. Marco Nicolosi (University of Perugia)

Topic Areas

Incompleteness , Information Models , Optimal Control


WE-A-DA » The Value of Information (11:30 - Wednesday, 18th July, Davis)

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