CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS (Q3126238)

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CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
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    CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS (English)
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    23 March 1997
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    optimal consumption/investment decision problem
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    partially observable drift
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    certainty equivalence principle
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    Bayesian structure
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    Hamilton-Jacobi-Bellman equations
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