Optimal consumption and investment strategies with partial and private information in a multi-asset setting
From MaRDI portal
Publication:2392018
DOI10.1007/s11579-012-0086-1zbMath1281.91143OpenAlexW1992040927MaRDI QIDQ2392018
Publication date: 6 August 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0086-1
Inference from stochastic processes and prediction (62M20) Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items
Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Unnamed Item ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal investment under partial information
- A monetary value for initial information in portfolio optimization
- Filtering and control with information increasing
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Additional logarithmic utility of an insider
- Optimal trading strategy for an investor: the case of partial information
- Optimal investment with inside information and parameter uncertainty
- Portfolio selection under incomplete information
- Anticipative portfolio optimization
- The Role of Learning in Dynamic Portfolio Decisions *
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio optimization with unobservable Markov-modulated drift process
- The relaxed investor and parameter uncertainty
This page was built for publication: Optimal consumption and investment strategies with partial and private information in a multi-asset setting
