Optimal trading strategy for an investor: the case of partial information (Q1805777)

The author investigates the optimization problem of an investor who wants to maximize the expected utility of final wealth. He assumes that the security prices follow a system of stochastic differential equations with a constant volatility matrix and with a drift which is not observable, and is modeled by a multidimensional Gaussian process. An explicit formula for the optimal trading strategy is obtained for a large class of utility functions.