Performance analysis of the optimal strategy under partial information
| Autor: | Ahmed Bel Hadj Ayed, Grégoire Loeper, Sofiene El Aoud, Frédéric Abergel |
|---|---|
| Přispěvatelé: | Chaire de finance quantitative (FiQuant), Mathématiques et Informatique pour la Complexité et les Systèmes (MICS), CentraleSupélec-CentraleSupélec, CentraleSupélec, Monash University [Clayton] |
| Rok vydání: | 2015 |
| Předmět: |
Logarithm
[QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] Stochastic calculus Asset (computer security) [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] 01 natural sciences Unobservable FOS: Economics and business 010104 statistics & probability Portfolio Management (q-fin.PM) 0502 economics and business Econometrics Mean reversion 0101 mathematics Quantitative Finance - Portfolio Management Mathematics Quantitative Finance - Trading and Market Microstructure 050208 finance Sharpe ratio 05 social sciences Function (mathematics) Variance (accounting) Mathematical Finance (q-fin.MF) Trading and Market Microstructure (q-fin.TR) Quantitative Finance - Mathematical Finance General Economics Econometrics and Finance Finance |
| Zdroj: | International Journal of Theoretical and Applied Finance International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2017, 20 (2), pp.1750016. ⟨10.1142/S0219024917500169⟩ |
| ISSN: | 0219-0249 |
| DOI: | 10.48550/arxiv.1510.03596 |
| Popis: | International audience; The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck process. We focus on the optimal strategy with a logarithmic utility function under full or partial information. For both cases, we provide the asymptotic expectation and variance of the logarithmic return as functions of the signal-to-noise ratio and of the trend mean reversion speed. Finally, we compare the asymptotic Sharpe ratios of these strategies in order to quantify the loss of performance due to partial information. |
| Databáze: | OpenAIRE |
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