Utility maximization with convex constraints and partial information
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Publication:996765
DOI10.1007/S10440-007-9124-ZzbMATH Open1124.91037OpenAlexW1991982436MaRDI QIDQ996765FDOQ996765
Publication date: 19 July 2007
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-007-9124-z
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Cites Work
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- Optimal trading strategy for an investor: the case of partial information
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- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Portfolio optimization with unobservable Markov-modulated drift process
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- Bayesian adaptive portfolio optimization
- A generalized clark representation formula, with application to optimal portfolios
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- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
- Title not available (Why is that?)
- Title not available (Why is that?)
- Portfolio optimization under partial information and convex constraints in a hidden Markov model
Cited In (14)
- Optimal investment and consumption under partial information
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
- Optimal portfolio policies under bounded expected loss and partial information
- Optimal consumption and investment under partial information
- Optimal investment under partial information
- Title not available (Why is that?)
- Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting
- Portfolio optimization under partial information and convex constraints in a hidden Markov model
- EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT
- Effective approximation methods for constrained utility maximization with drift uncertainty
- Optimal investment under dynamic risk constraints and partial information
- EMA-type trading strategies maximize utility under partial information
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
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