Optimal consumption and investment strategies with partial and private information in a multi-asset setting
DOI10.1007/S11579-012-0086-1zbMATH Open1281.91143OpenAlexW1992040927MaRDI QIDQ2392018FDOQ2392018
Authors: S. L. Hansen 
Publication date: 6 August 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0086-1
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Inference from stochastic processes and prediction (62M20) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
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- Additional logarithmic utility of an insider
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- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimal trading strategy for an investor: the case of partial information
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- PDE approach to utility maximization for market models with hidden Markov factors
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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- The Role of Learning in Dynamic Portfolio Decisions *
- The relaxed investor and parameter uncertainty
- Optimal investment with inside information and parameter uncertainty
- Portfolio selection under incomplete information
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- Filtering and control with information increasing
Cited In (8)
- Expected utility maximization for an insurer with investment and risk control under inside information
- Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Robust optimal investment and reinsurance for an insurer with inside information
- A Stackelberg reinsurance–investment game with asymmetric information and delay
- Title not available (Why is that?)
- Strategic investment and learning with private information
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
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