Optimal investment and consumption under partial information

DOI10.1007/s00186-015-0521-1zbMath1414.91348OpenAlexW633211010MaRDI QIDQ261540

Kristoffer Lindensjö

Publication date: 24 March 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-015-0521-1

zbMATH Keywords

stochastic controlutility maximizationpartial informationportfolio theoryoptimal investment and consumptionpath-dependent volatility

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

Implicit incentives for fund managers with partial information ⋮ OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ The value of knowing the market price of risk ⋮ Optimal retirement planning under partial information ⋮ An optimal consumption and investment problem with partial information ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition

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