Optimal trading strategy for an investor: the case of partial information (Q1805777)
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scientific article; zbMATH DE number 1364488
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal trading strategy for an investor: the case of partial information |
scientific article; zbMATH DE number 1364488 |
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Optimal trading strategy for an investor: the case of partial information (English)
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18 November 1999
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The author investigates the optimization problem of an investor who wants to maximize the expected utility of final wealth. He assumes that the security prices follow a system of stochastic differential equations with a constant volatility matrix and with a drift which is not observable, and is modeled by a multidimensional Gaussian process. An explicit formula for the optimal trading strategy is obtained for a large class of utility functions.
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trading strategy
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optimization
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security prices
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utility function
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filtration
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