In this paper we examine the demand for information and the value of information in an intertemporal continuous time model. The model analyzed is a model with incomplete information where the information technology is controlled by the investor at a cost. The continuous bayesian updating of...

In this paper, we consider two portfolio problems when information is incomplete and the investor wishes to maximize his utility of terminal wealth. Optimal portfolios are obtained in explicit form by using the Ocone and Karatzas (1991) representation formula for Wiener functionals under...