Anticipative portfolio optimization

DOI10.2307/1428166zbMath0867.90013OpenAlexW2320684320MaRDI QIDQ4332212

Publication date: 13 February 1997

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1428166

zbMATH Keywords

relative entropy Brownian motion optimal portfolio stochastic control problem financial economics enlargement of filtrations

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Economics of information (91B44) Portfolio theory (91G10)

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