Expected power-utility maximization under incomplete information and with Cox-process observations (Q1946535)
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scientific article; zbMATH DE number 6153914
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| English | Expected power-utility maximization under incomplete information and with Cox-process observations |
scientific article; zbMATH DE number 6153914 |
Statements
Expected power-utility maximization under incomplete information and with Cox-process observations (English)
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15 April 2013
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portfolio optimization
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stochastic control
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incomplete information
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regime-switching models
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Cox-process observations
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random trading times
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unobserved Markovian factor process
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expected terminal power utility
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0.9436572
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0.8759352
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0.8554306
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0.8489539
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0.84614056
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0.8432925
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0.84144676
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