Optimal portfolio choice for unobservable and regime-switching mean returns

DOI10.1016/S0165-1889(02)00106-9zbMath1179.91233MaRDI QIDQ951435

Toshiki Honda

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

regime switchingincomplete informationstochastic flowsdegenerate partial differential equationoptimal consumption and portfolio

Mathematics Subject Classification ID

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