Exponential utility maximization under partial information
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Publication:650760
DOI10.1007/S00780-009-0114-ZzbMATH Open1226.91091OpenAlexW1978535769MaRDI QIDQ650760FDOQ650760
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0114-z
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Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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Cited In (30)
- Forward-backward systems for expected utility maximization
- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
- Logarithmic utility maximization for insiders in progressively enlarged filtrations
- Title not available (Why is that?)
- Mean-variance asset–liability management with partial information and uncertain time horizon
- G-expected utility maximization with ambiguous equicorrelation
- Optimal proportional reinsurance and investment under partial information
- Information evaluation under nonadditive expected utility
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Making mean-variance hedging implementable in a partially observable market
- Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting
- Backward SDEs for control with partial information
- Generalized stochastic differential utility and preference for information
- UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Utility maximization under risk constraints and incomplete information for a market with a change point
- Utility indifference valuation for jump risky assets
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal reinsurance and investment in a diffusion model
- Expected power-utility maximization under incomplete information and with Cox-process observations
- Relative wealth concerns with partial information and heterogeneous priors
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- Power utility maximization under partial information: some convergence results
- The Föllmer–Schweizer decomposition under incomplete information
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes
- Trading utility and uncertainty: applying the value of information to resolve the exploration-exploitation dilemma in reinforcement learning
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
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