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

<table><svg height="11.1" id="M224" style="vertical-align:-0.1881pt" version="1.1" viewbox="0 0 14.6875 11.1" width="14.6875" xmlns="http://www.w3.org/2000/svg">
<g transform="matrix(1.25,0,0,-1.25,0,11.1)">
<g transform="translate(72,-63.12)">
<text transform="matrix(1,0,0,-1,-71.95,63.36)">
<tspan style="font-size: 12.50px; " x="0" y="0">𝒱</tspan>
</text>
</g>
</g>
</svg> as a function of <svg height="6.9875002" id="M225" style="vertical-align:-0.13794pt" version="1.1" viewbox="0 0 9.3000002 6.9875002" width="9.3000002" xmlns="http://www.w3.org/2000/svg">
<g transform="matrix(1.25,0,0,-1.25,0,6.9875)">
<g transform="translate(72,-66.41)">
<text transform="matrix(1,0,0,-1,-71.95,66.6)">
<tspan style="font-size: 12.50px; " x="0" y="0">𝜎</tspan>
</text>
</g>
</g>
</svg> and <svg height="10.925" id="M226" style="vertical-align:-3.13504pt" version="1.1" viewbox="0 0 14.0625 10.925" width="14.0625" xmlns="http://www.w3.org/2000/svg">
<g transform="matrix(1.25,0,0,-1.25,0,10.925)">
<g transform="translate(72,-63.26)">
<text transform="matrix(1,0,0,-1,-71.95,66.44)">
<tspan style="font-size: 12.50px; " x="0" y="0">𝑎</tspan>
</text>
<text transform="matrix(1,0,0,-1,-65.67,63.31)">
<tspan style="font-size: 8.75px; " x="0" y="0">1</tspan>
</text>
</g>
</g>
</svg>.</table>

Journal of Probability and Statistics

fig1

Figure 1

Figure 1: A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA 

Figure 1 | A Comparative Analysis of the Value of Information in a Continuous Time Market Model with Partial Information: The Cases of Log-Utility and CRRA 