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Journal of Probability and Statistics
Volume 2011 (2011), Article ID 238623, 23 pages
http://dx.doi.org/10.1155/2011/238623
Research Article

A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA

1School of Finance and Statistics, Hunan University, Changsha 410079, China
2School of Mathematics and Statistics, University of Sydney, Sydney NSW 2006, Australia

Received 16 March 2010; Accepted 12 May 2010

Academic Editor: Tak Kuen Siu

Copyright © 2011 Zhaojun Yang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

How to Cite this Article

Zhaojun Yang, Christian-Oliver Ewald, and Wen-Kai Wang, “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, vol. 2011, Article ID 238623, 23 pages, 2011. doi:10.1155/2011/238623