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The Value of Information for Optimal Portfolio Management

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Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Abstract

We study the value of information for a manager who invests in a stock market to optimize the utility of her future wealth. We consider an incomplete financial market model with a mean reverting market price of risk that cannot be directly observed by the manager. The available information is represented by the filtration generated by the stock price process. We solve the classical Merton problem for an incomplete market under partial information by means of filtering techniques and the martingale approach.

Research partially funded by the Swedish Research Council, Grant 2015-01713

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Author information

Authors and Affiliations

  1. University of Leeds, School of Mathematics, Leeds, UK

    Katia Colaneri

  2. University of Rome Tor Vergata, Department of Economics and Finance, Rome, Italy

    Stefano Herzel

  3. University of Perugia, Department of Economics, Perugia, Italy

    Marco Nicolosi

Authors
  1. Katia Colaneri
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  2. Stefano Herzel
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  3. Marco Nicolosi
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Corresponding author

Correspondence to Marco Nicolosi .

Editor information

Editors and Affiliations

  1. Dept. of Economics, Ca’ Foscari University of Venice, Venezia, Italy

    Marco Corazza

  2. Dept. of Statistics, Universidad Carlos III de Madrid, Getafe, Madrid, Spain

    María Durbán

  3. Dept. of Statistics, Universidad Carlos III de Madrid, Getafe, Madrid, Spain

    Aurea Grané

  4. Dept. of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Cira Perna

  5. Dept. of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Marilena Sibillo

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Colaneri, K., Herzel, S., Nicolosi, M. (2018). The Value of Information for Optimal Portfolio Management. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_41

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