Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain

DOI10.1137/050639351zbMath1140.93042OpenAlexW2180267983MaRDI QIDQ3516084

Publication date: 1 August 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050639351

zbMATH Keywords

dynamic programming partial information CRRA utility optimal terminal wealth

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (4)

Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ An optimal investment model with Markov-driven volatilities ⋮ Study of a degenerate elliptic equation in an optimal consumption problem under partial information

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