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