Expected power-utility maximization under incomplete information and with Cox-process observations
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Publication:1946535
DOI10.1007/s00245-012-9180-2zbMath1259.93133MaRDI QIDQ1946535
Wolfgang J. Runggaldier, Kazufumi Fujimoto, Hideo Nagai
Publication date: 15 April 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-012-9180-2
stochastic control; portfolio optimization; incomplete information; regime-switching models; Cox-process observations; expected terminal power utility; random trading times; unobserved Markovian factor process
93C41: Control/observation systems with incomplete information
93E20: Optimal stochastic control
91G10: Portfolio theory
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