Liu, Jun; Peleg, Ehud; Subrahmanyam, Avanidhar - In: Journal of Financial and Quantitative Analysis 45 (2010) 05, pp. 1221-1251
We study the consumption-investment problem of an agent with a constant relative risk aversion preference function, who possesses noisy information about the future prospects of a stock. We also solve for the value of information to the agent in closed form. We find that information can...
