CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS

DOI10.1111/j.1467-9965.1995.tb00069.xzbMath0866.90019OpenAlexW2035168490MaRDI QIDQ3126238

Yoichi Kuwana

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00069.x

zbMATH Keywords

certainty equivalence principleHamilton-Jacobi-Bellman equationsBayesian structureoptimal consumption/investment decision problempartially observable drift

Mathematics Subject Classification ID

Related Items (13)

Optimal portfolio in partially observed stochastic volatility models. ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Non-linear filtering and optimal investment under partial information for stochastic volatility models ⋮ Optimal portfolio and certainty equivalence estimator for the appreciation rate ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ Portfolio optimization with unobservable Markov-modulated drift process ⋮ Optimal debt ratio and consumption strategies in financial crisis ⋮ Optimal convergence trading with unobservable pricing errors ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Utility maximization with convex constraints and partial information ⋮ LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS ⋮ Optimal spreading when spreading is optimal

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Further results on asset pricing with incomplete information
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

This page was built for publication: CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS