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

zbMATH Keywords

optimal consumptionpartial informationprivate informationutility functionfiltering problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

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• A monetary value for initial information in portfolio optimization
• Additional logarithmic utility of an insider
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• Filtering and control with information increasing
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• Optimal investment with inside information and parameter uncertainty
• Optimal portfolio choice for unobservable and regime-switching mean returns
• Optimal trading strategy for an investor: the case of partial information
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Optimum consumption and portfolio rules in a continuous-time model
• PDE approach to utility maximization for market models with hidden Markov factors
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Portfolio optimization with unobservable Markov-modulated drift process
• Portfolio selection under incomplete information
• The Role of Learning in Dynamic Portfolio Decisions *
• The relaxed investor and parameter uncertainty

Cited in

(9)

• Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
• Expected utility maximization for an insurer with investment and risk control under inside information
• Optimal retirement planning under partial information
• A non-zero-sum reinsurance-investment game with delay and asymmetric information
• A deep learning algorithm for optimal investment strategies under Merton's framework
• A Stackelberg reinsurance-investment game with asymmetric information and delay
• Optimal consumption-investment under partial information in conditionally log-Gaussian models
• Robust optimal investment and reinsurance for an insurer with inside information
• Strategic investment and learning with private information

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