An optimal portfolio and consumption problem with a benchmark and partial information (Q2690075): Difference between revisions

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-.1007/s11579-022-00330-8
@@ Property / DOI: 10.1007/s11579-022-00330-8 / rank @@
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+OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
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@@ Property / cites work @@
+Risk‐sensitive benchmarked asset management with expert forecasts
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+Controlled Markov processes and viscosity solutions
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+An optimal consumption and investment problem with partial information
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+Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls
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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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+Optimum consumption and portfolio rules in a continuous-time model
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+H-J-B equations of optimal consumption-investment and verification theorems
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+Stochastic calculus for finance. II: Continuous-time models.
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+Time inconsistent asset-liability management with partial information
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+Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
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+Mean‐Variance Portfolio Selection under Partial Information
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+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ Property / DOI @@
+.1007/S11579-022-00330-8
@@ Property / DOI: 10.1007/S11579-022-00330-8 / rank @@
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