The Role of Learning in Dynamic Portfolio Decisions *
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Publication:4798677
DOI10.1023/A:1009725805128zbMATH Open1029.91511OpenAlexW1995236180MaRDI QIDQ4798677FDOQ4798677
Authors: M. J. Brennan 
Publication date: 12 March 2003
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009725805128
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- Incomplete information equilibria: separation theorems and other myths
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- Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
- State-Dependent Utility
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- Optimal portfolio choice for unobservable and regime-switching mean returns
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- An optimal consumption and investment problem with partial information
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- Asset pricing under smooth ambiguity in continuous time
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- Dynamic portfolio choice under ambiguity and regime switching mean returns
- On the implied market price of risk under the stochastic numéraire
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- Dynamic portfolio optimization with transaction costs and state-dependent drift
- Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
- The value of knowing the market price of risk
- Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
- Optimal investment, consumption and life insurance purchase with learning about return predictability
- The behavior of individual and aggregate stock prices
- Effective approximation methods for constrained utility maximization with drift uncertainty
- The impacts of uncertainties in a real options model under incomplete information
- Portfolio management with stochastic interest rates and inflation ambiguity
- Smart network based portfolios
- Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- Schumpeterian competition in a Lucas economy
- On the structure of multifactor optimal portfolio strategies
- Portfolio selection under incomplete information
- Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
- Optimal portfolio and certainty equivalence estimator for the appreciation rate
- A bounded risk strategy for a market with non-observable parameters.
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