The optimal log-utility asset management under incomplete information

DOI10.1023/A:1010069730429zbMATH Open1153.91516MaRDI QIDQ1000511FDOQ1000511

Authors: Hiroshi Ishijima, Hiroshi Shirakawa 

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

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Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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• Incomplete information equilibria: separation theorems and other myths
• An empirical analysis on log-utility asset management
• Time inconsistent asset-liability management with partial information
• Portfolio selection under incomplete information

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