Optimal investment under partial information
نویسندگان
چکیده
منابع مشابه
Optimal investment under partial information
We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly. This leads to an optimal control probl...
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* We wish to thank two anonymous referees and the participants of the CESifo Area Conference on Employment and Social Protection, June 2004 in Munich for helpful remarks. Of course, we take sole responsibility for all remaining shortcomings.
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2010
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-010-0301-x