Optimal consumption and investment strategies with partial and private information in a multi-asset setting

DOI10.1007/s11579-012-0086-1zbMath1281.91143OpenAlexW1992040927MaRDI QIDQ2392018

Simon Lysbjerg 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

utility functionpartial informationprivate informationoptimal consumptionfiltering problem

Mathematics Subject Classification ID

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

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