A benchmark approach to portfolio optimization under partial information

DOI10.1007/s10690-007-9045-xzbMath1151.91451OpenAlexW2114785521MaRDI QIDQ2471734

Wolfgang J. Runggaldier, Eckhard Platen

Publication date: 18 February 2008

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5452

zbMATH Keywords

FilteringPortfolio optimizationPartial informationExpected utility maximizationGrowth optimal portfolioReal world pricing formulaUtility indifference pricing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)

Related Items (4)

Risk‐sensitive benchmarked asset management with expert forecasts ⋮ Pricing of claims in discrete time with partial information ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures

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