Università degli Studi di Genova
We consider the problem of expected power utility maximization from terminal wealth in diffusion market models under partial information. Explicit expressions for the value-process and for the optimal strategy are obtained for some interesting special cases. In particular, a closed form solution is given in terms of a PDE with terminal condition for Markovian models. An illustration of the optimal strategy is provided by means of some numerical simulations.
Backward stochastic differential equation; power utility maximization problem; basis risk model; stochastic correlation