英文标题：
《Utility Maximization and Indifference Value under Risk and Information
Constraints for a Market with a Change Point》
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作者：
Oliver Janke
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最新提交年份：
2016
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英文摘要：
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market consists of one asset whose price process is modeled by a Geometric Brownian motion where the market parameters change at a random time. The information flow is modeled by initially and progressively enlarged filtrations which represent the knowledge about the price process, the Brownian motion and the random time. We solve the maximization problem and give the optimal terminal wealth depending on these different filtrations for general utility functions by using martingale representation results for the corresponding filtration. Moreover, for a special utility function and risk measure we calculate the utility indifference value which measures the gain of further information for the investor.
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中文摘要：
本文研究金融市场中连续时间交易的期望效用最大化问题。这种交易受到基于公用事业的短缺风险度量基准的限制。市场由一项资产组成，其价格过程由几何布朗运动建模，其中市场参数在随机时间变化。信息流是通过初始和逐步扩大的过滤来建模的，这些过滤表示关于价格过程、布朗运动和随机时间的知识。对于一般效用函数，我们利用鞅表示结果来解决最大化问题，并根据这些不同的过滤给出最优终端财富。此外，对于一个特殊的效用函数和风险度量，我们计算了效用无差异值，它度量了投资者获得更多信息的收益。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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