THE VALUE OF INFORMATION IN STOCHASTIC CONTROL AND FINANCE
We present an optimal portfolio problem with logarithmic utility in the following three cases: Copyright Blackwell Publishing Ltd/University of Adelaide and Flinders University 2005..
Year of publication: |
2005
|
---|---|
Authors: | OKSENDAL, BERNT |
Published in: |
Australian Economic Papers. - Wiley Blackwell. - Vol. 44.2005, 4, p. 352-364
|
Publisher: |
Wiley Blackwell |
Saved in:
freely available
Saved in favorites
Similar items by person
-
A universal optimal consumption rate for an insider
Øksendal, Bernt K., (2006)
-
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K., (2009)
-
The value of information in stochastic control and finance
Øksendal, Bernt K., (2005)
- More ...