Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting (Q5256270): Difference between revisions

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scientific article; zbMATH DE number 6448643

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English	Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting	scientific article; zbMATH DE number 6448643

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instance of

scholarly article

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title

Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting (English)

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Stochastic Analysis and Applications

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publication date

22 June 2015

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zbMATH Keywords

backward stochastic differential equation

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power utility maximization problem

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basis risk model

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stochastic correlation

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information sufficiency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07362994.2015.1009758

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cites work

PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

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Optimal investment under partial information

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Portfolio selection under incomplete information

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On a problem of optimal stochastic control with incomplete information

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Power utility maximization under partial information: some convergence results

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Exponential utility indifference valuation in two Brownian settings with stochastic correlation

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VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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Results on Numerics for FBSDE with Drivers of Quadratic Growth

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Pseudo linear pricing rule for utility indifference valuation

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Calcul stochastique et problèmes de martingales

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Continuous exponential martingales and BMO

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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Utility maximization with partial information

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Optimal trading strategy for an investor: the case of partial information

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\(L^{2}\)-approximating pricing under restricted information

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Mean-Variance Hedging Under Partial Information

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Exponential utility maximization under partial information

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Optimal portfolio in partially observed stochastic volatility models.

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Mean-variance hedging for continuous processes: New proofs and examples

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Derivatives pricing via<i>p</i>-optimal martingale measures: some extreme cases

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Utility maximization with convex constraints and partial information

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A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization

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Identifiers

zbMATH Open document ID

1336.91072

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DOI

10.1080/07362994.2015.1009758

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5256270

@@ Property / MaRDI profile type @@
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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/07362994.2015.1009758
+Normal rank
@@ Property / OpenAlex ID @@
+W2039956433
@@ Property / OpenAlex ID: W2039956433 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
+Normal rank
@@ Property / cites work @@
+Optimal investment under partial information
@@ Property / cites work: Optimal investment under partial information / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio selection under incomplete information
@@ Property / cites work: Portfolio selection under incomplete information / rank @@
+Normal rank
@@ Property / cites work @@
+On a problem of optimal stochastic control with incomplete information
+Normal rank
@@ Property / cites work @@
+Power utility maximization under partial information: some convergence results
+Normal rank
@@ Property / cites work @@
+Exponential utility indifference valuation in two Brownian settings with stochastic correlation
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+Results on Numerics for FBSDE with Drivers of Quadratic Growth
+Normal rank
@@ Property / cites work @@
+Pseudo linear pricing rule for utility indifference valuation
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Utility maximization with partial information
@@ Property / cites work: Utility maximization with partial information / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal trading strategy for an investor: the case of partial information
+Normal rank
@@ Property / cites work @@
+\(L^{2}\)-approximating pricing under restricted information
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging Under Partial Information
@@ Property / cites work: Mean-Variance Hedging Under Partial Information / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential utility maximization under partial information
+Normal rank
@@ Property / cites work @@
+Optimal portfolio in partially observed stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for continuous processes: New proofs and examples
+Normal rank
@@ Property / cites work @@
+Derivatives pricing via<i>p</i>-optimal martingale measures: some extreme cases
+Normal rank
@@ Property / cites work @@
+Utility maximization with convex constraints and partial information
+Normal rank
@@ Property / cites work @@
+A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
+Normal rank