Archivio Istituzionale della RicercaWe consider the problem of expected power utility maximization from terminal wealth in diffusion market models under partial information. Explicit expressions for the value-process and for the optimal strategy are obtained for some interesting special cases. In particular, a closed form solution is given in terms of a PDE with terminal condition for Markovian models. An illustration of the optimal strategy is provided by means of some numerical simulations.
Explicit Formulae for Power Utility Maximization Problems. Pubblicazioni di Matematica dell'Università di Genova / D., Covello; Santacroce, Marina; E., Sasso. - ELETTRONICO. - 597:(2012).
Explicit Formulae for Power Utility Maximization Problems. Pubblicazioni di Matematica dell'Università di Genova.
SANTACROCE, MARINA;
2012
Abstract
We consider the problem of expected power utility maximization from terminal wealth in diffusion market models under partial information. Explicit expressions for the value-process and for the optimal strategy are obtained for some interesting special cases. In particular, a closed form solution is given in terms of a PDE with terminal condition for Markovian models. An illustration of the optimal strategy is provided by means of some numerical simulations.
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https://hdl.handle.net/11583/2504857
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