LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS

DOI10.1142/S0219024916500187zbMath1337.91079arXiv1502.02968OpenAlexW157603686MaRDI QIDQ2806365

Michele Longo, Alessandra Mainini

Publication date: 17 May 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.02968

zbMATH Keywords

learninglikelihood ratio orderinvestment modelsBayesian control

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ Stochastic differential game for management of non-renewable fishery resource under model ambiguity ⋮ Optimal retirement planning under partial information

Cites Work

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• Markov decision processes with applications to finance.
• Portfolio optimization in discontinuous markets under incomplete information
• CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS

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