The value of knowing the market price of risk

Gio, 04/04/2019 - 12:00 / 14:00

303, Viale Romania, 32

Speaker: Stefano Herzel , Università di Roma Tor Vergata

Abstract :

We study the problem of determining the optimal portfolio policy of an investor in a market model where the dynamics of the risky asset is driven by an unobservable market price of risk. We solve the problem in an affine setting by computing the maximum price that the investor would be willing to pay in order to have access to different kinds of information.