A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
Yang, Zhaojun; Ewald, Christian-Oliver; Wang, Wen-Kai
Journal of Probability and Statistics (2011)
- Volume: 2011, page Article ID 238623, 23 p.-Article ID 238623, 23 p.
- ISSN: 1687-952X
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topYang, Zhaojun, Ewald, Christian-Oliver, and Wang, Wen-Kai. "A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.." Journal of Probability and Statistics 2011 (2011): Article ID 238623, 23 p.-Article ID 238623, 23 p.. <http://eudml.org/doc/225179>.
@article{Yang2011,
author = {Yang, Zhaojun, Ewald, Christian-Oliver, Wang, Wen-Kai},
journal = {Journal of Probability and Statistics},
language = {eng},
pages = {Article ID 238623, 23 p.-Article ID 238623, 23 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.},
url = {http://eudml.org/doc/225179},
volume = {2011},
year = {2011},
}
TY - JOUR
AU - Yang, Zhaojun
AU - Ewald, Christian-Oliver
AU - Wang, Wen-Kai
TI - A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
JO - Journal of Probability and Statistics
PY - 2011
PB - Hindawi Publishing Corporation, New York
VL - 2011
SP - Article ID 238623, 23 p.
EP - Article ID 238623, 23 p.
LA - eng
UR - http://eudml.org/doc/225179
ER -
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