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Additional logarithmic utility of an insider
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - Sonderforschungsbereich 373, Quantifikation und … - 1998
expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the … finiteness of this additional utility and to show that it is basically given by the entropy of G. …
Persistent link: https://www.econbiz.de/10010983797
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Quantifying the value of initial investment information
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin - 2000
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...
Persistent link: https://www.econbiz.de/10010310201
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A monetary value for initial information in portfolio optimization
Schweizer, Martin; Becherer, Dirk; Amendinger, Jürgen - In: Finance and Stochastics 7 (2003) 1, pp. 29-46
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information ${\cal G}$. His subjective fair value of this information is defined...
Persistent link: https://www.econbiz.de/10005613379
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Quantifying the value of initial investment information
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin - Sonderforschungsbereich 373, Quantifikation und … - 2000
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...
Persistent link: https://www.econbiz.de/10010983580
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Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets
Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of Economics and Finance 2 (2001) 2, pp. 445-465
relative entropy martingale measures and minimum Hellinger-Kakutani distance martingale measures. …
Persistent link: https://www.econbiz.de/10009144916
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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Robust multiarmed bandit problems
Kim, Michael Jong; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 62 (2016) 1, pp. 264-285
Persistent link: https://www.econbiz.de/10011432957
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Entropy coherent and entropy convex measures of risk
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 38 (2013) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10009751526
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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Statistical problem classes and their links to information theory
Clarke, Bertrand; Clarke, Jennifer; Yu, Chi Wai - In: Econometric reviews 33 (2014) 1/4, pp. 337-371
Persistent link: https://www.econbiz.de/10010360499