Performance analysis of the optimal strategy under partial information

Ahmed Bel Hadj Ayed, Gregoire Loeper, Sofiene El Aoud, Frédéric Abergel

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The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein–Uhlenbeck process. We focus on the optimal strategy with a logarithmic utility function under full or partial information. For both cases, we provide the asymptotic expectation and variance of the logarithmic return as functions of the signal-to-noise ratio and of the trend mean reversion speed. Finally, we compare the asymptotic Sharpe ratios of these strategies in order to quantify the loss of performance due to partial information.
Original languageEnglish
Article number1750016
Number of pages21
JournalInternational Journal of Theoretical and Applied Finance
Issue number2
Publication statusPublished - 7 Mar 2017


  • Optimal trading strategy
  • partial observation
  • Sharpe ratio
  • stochastic calculus

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