An optimal portfolio and consumption problem with a benchmark and partial information

DOI10.1007/S11579-022-00330-8OpenAlexW4317104177MaRDI QIDQ2690075

Detao Zhang, Mondher Bellalah, Panpan Zhang

Publication date: 15 March 2023

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-022-00330-8

zbMATH Keywords

Hamilton-Jacobi-Bellman equationpartial informationverification theoremKalman-Bucy filteroptimal portfolio and consumption

Mathematics Subject Classification ID

Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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