A monetary value for initial information in portfolio optimization

被引：60

作者：

Amendinger, J

Becherer, D

Schweizer, M

机构：

[1] Hypo Vereinsbank AG, Int Mkt, Equ Linked Prod, D-81925 Munich, Germany

[2] Univ London Imperial Coll Sci & Technol, Dept Math, London SW7 2BZ, England

[3] LMU Munchen, Inst Math, D-80333 Munich, Germany

来源：

FINANCE AND STOCHASTICS | 2003年 / 7卷 / 01期

关键词：

initial enlargement of filtrations; utility maximization; value of information; martingale preserving measure; predictable representation property;

D O I：

10.1007/s007800200075

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based oft the available information flow. This investor faces the opportunity to acquire some additional initial information g. His subjective fair value of this information is defined as the amount of money that he can pay for 9 such that this cost is balanced out by the informational advantage in terms of maximal expected utility. We study this value for common utility functions in the setting of a complete market modeled by general semimartingales: The main tools are a martingale preserving change of measure and martingale representation results for initially enlarged filtrations.

引用

页码：29 / 46

页数：18

共 22 条

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