Further results on asset pricing with incomplete information
From MaRDI portal
Publication:809856
DOI10.1016/0165-1889(91)90001-HzbMath0732.90017MaRDI QIDQ809856
Publication date: 1991
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Related Items
Effects of financial innovations on market volatility when beliefs are heterogeneous, The behavior of individual and aggregate stock prices, Continuous-time mean-variance asset-liability management with hidden Markovian regime switching, Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching, Optimal investment management for a defined contribution pension fund under imperfect information, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Interest rate options valuation under incomplete information, Incomplete information equilibria: separation theorems and other myths, Empirical Performance and Asset Pricing in Hidden Markov Models, Optimal trading strategy for an investor: the case of partial information, Asset pricing with incomplete information and fat tails, A theory of optimal timing and selectivity, THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS, CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS, A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk, Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Information structure and equilibrium asset prices
- Multiperiod security markets with differential information
- Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
- Information states for linear stochastic systems
- A Theory of the Term Structure of Interest Rates
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- An Intertemporal General Equilibrium Model of Asset Prices
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Stochastic partial differential equations and filtering of diffusion processes
- The Separation Principle in Stochastic Control via Girsanov Solutions
- An Intertemporal Capital Asset Pricing Model
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- On the Separation Theorem of Stochastic Control
- On the optimal filtering of diffusion processes
