Utility maximization with partial information

DOI10.1016/0304-4149(94)00073-3zbMATH Open0834.90022OpenAlexW1996175061MaRDI QIDQ1890699FDOQ1890699

Publication date: 23 May 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00073-3

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scientific article; zbMATH DE number 5153055

zbMATH Keywords

Brownian motion functional stochastic differential equations

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (90)

Optimal investment in ambiguous financial markets with learning
Duality in optimal consumption-investment problems with alternative data
Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
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Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
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The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
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Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Optimal consumption-investment under partial information in conditionally log-Gaussian models
A hybrid reinsurance-investment game with delay and asymmetric information
Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
Bayesian learning for the Markowitz portfolio selection problem
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On European option pricing under partial information.
Properties of equilibrium asset prices under alternative learning schemes
Optimal consumption and portfolio choice with ambiguity and anticipation
Pricing of claims in discrete time with partial information
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Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
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Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
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Power utility maximization problems under partial information and information sufficiency in a Brownian setting
Utility maximization with partial information for Ornstein-Uhlenbeck model
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Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
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Special issue: Arbitrage and control problems in finance
Continuous-time portfolio selection under ambiguity
OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
Optimal portfolio and certainty equivalence estimator for the appreciation rate

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