Archivio Istituzionale della RicercaWe 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.
Power utility maximization problems under partial information and information sufficiency in a Brownian setting / Santacroce, Marina; Sasso, Emanuela; Trivellato, Barbara; Covello, Daniela. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - STAMPA. - 33:3(2015), pp. 493-509. [10.1080/07362994.2015.1009758]
Power utility maximization problems under partial information and information sufficiency in a Brownian setting
SANTACROCE, MARINA;TRIVELLATO, BARBARA;
2015
Abstract
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.
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https://hdl.handle.net/11583/2650626
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