An optimal portfolio and consumption problem with a benchmark and partial information (Q2690075)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal portfolio and consumption problem with a benchmark and partial information |
scientific article |
Statements
An optimal portfolio and consumption problem with a benchmark and partial information (English)
0 references
15 March 2023
0 references
optimal portfolio and consumption
0 references
partial information
0 references
Kalman-Bucy filter
0 references
Hamilton-Jacobi-Bellman equation
0 references
verification theorem
0 references
