A Note On Utility Maximization Under Partial Observations1

DOI10.1111/j.1467-9965.1991.tb00009.xzbMath0900.90051OpenAlexW1990330412MaRDI QIDQ4345910

Ioannis Karatzas, Xingxiong Xue

Publication date: 31 August 1997

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00009.x

zbMATH Keywords

martingale representationpartial observationsstochastic filteringoptimal consumption/investment

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)

Related Items (21)

Optimal portfolio in partially observed stochastic volatility models. ⋮ A term structure model with preferences for the timing of resolution of uncertainty ⋮ Models of information aggregation in financial markets: a review ⋮ Effects of financial innovations on market volatility when beliefs are heterogeneous ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ On aggregation of information in competitive markets: The dynamic case ⋮ Multi-period information markets ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information ⋮ Backward SDEs for control with partial information ⋮ Optimal proportional reinsurance and investment under partial information ⋮ An optimal consumption and investment problem with partial information ⋮ Optimal consumption and investment under partial information ⋮ A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk ⋮ A mean-field stochastic maximum principle via Malliavin calculus ⋮ Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.

Cites Work

• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Changes of filtrations and of probability measures
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Optimization Problems in the Theory of Continuous Trading
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A Note On Utility Maximization Under Partial Observations¹