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Exponential utility maximization under partial information

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  • Michael Mania
  • Marina Santacroce

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Suggested Citation

  • Michael Mania & Marina Santacroce, 2010. "Exponential utility maximization under partial information," Finance and Stochastics, Springer, vol. 14(3), pages 419-448, September.
    • Handle: RePEc:spr:finsto:v:14:y:2010:i:3:p:419-448
    DOI: 10.1007/s00780-009-0114-z
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    References listed on IDEAS

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    1. Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
    2. Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January.
    3. Martin Schweizer, 1994. "Risk‐Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342, October.
    4. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
    5. Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker, 2002. "Exponential Hedging and Entropic Penalties," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 99-123, April.
    6. Vicky Henderson, 2002. "Valuation Of Claims On Nontraded Assets Using Utility Maximization," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 351-373, October.
    7. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    8. Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, May.
    9. Henderson, Vicky & Hobson, David G., 2002. "Real options with constant relative risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 329-355, December.
    10. Tevzadze, Revaz, 2008. "Solvability of backward stochastic differential equations with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 118(3), pages 503-515, March.
    11. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
    12. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
    3. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
    4. Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
    5. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
    6. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
    7. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2015. "The F\"ollmer-Schweizer decomposition under incomplete information," Papers 1511.05465, arXiv.org, revised Mar 2016.
    8. Claudia Ceci & Anna Gerardi, 2011. "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 85-120, November.
    9. Matteo Brachetta & Hanspeter Schmidli, 2019. "Optimal Reinsurance and Investment in a Diffusion Model," Papers 1903.12426, arXiv.org.
    10. Manli Ban & Hua He & Xiaoqing Liang, 2022. "Optimal Investment Strategy for DC Pension Schemes under Partial Information," Risks, MDPI, vol. 10(11), pages 1-20, November.
    11. Matteo Brachetta & Hanspeter Schmidli, 2020. "Optimal reinsurance and investment in a diffusion model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 341-361, June.
    12. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "Local risk-minimization under restricted information to asset prices," Papers 1312.4385, arXiv.org, revised Nov 2014.
    13. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," Papers 1306.3359, arXiv.org, revised Nov 2013.
    14. Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
    15. Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
    16. Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," CARF F-Series CARF-F-321, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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    More about this item

    Keywords

    Backward stochastic differential equation; Semimartingale market model; Exponential utility maximization problem; Partial information; sufficient filtration; 90A09; 60H30; 90C39; C61; G11;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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