Title: On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
Abstract: Effects of information and estimations in portfolio maximization problems of expected utility with respect to terminal wealth are considered. In this paper, assuming several strategies whose differences come from information of markets and estimations of a parameter, we theoretically and numerically study their effects to expected utility and distributions of wealth at the maturity, and characters of paths where the strategy works well or bad.