A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log‐Utility and CRRA
Work
Year: 2010
Type: article
Abstract: We study the question what value an agent in a generalized Black‐Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization probl... more
Institutions Hunan University, The University of Sydney
Cites: 17
Cited by: 4
Related to: 10
FWCI:
Citation percentile (by year/subfield): 81.89
Topic: Economic theories and models
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025
Grant ID 70971037