An optimal consumption and investment problem with partial information
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Publication:5214995
DOI10.1017/apr.2018.7zbMath1434.91060OpenAlexW2791640770WikidataQ130102202 ScholiaQ130102202MaRDI QIDQ5214995
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Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2018.7
Hamilton-Jacobi-Bellman equationpartial informationHARA utilityoptimal consumption and investmentstochastic factor model
Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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An Optimal Consumption Problem for General Factor Models ⋮ Optimal investment problem with delay under partial information ⋮ Implicit incentives for fund managers with partial information ⋮ An optimal portfolio and consumption problem with a benchmark and partial information ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ The value of knowing the market price of risk ⋮ Optimal retirement planning under partial information ⋮ Optimal investment-consumption-insurance with partial information ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Parameter identification for portfolio optimization with a slow stochastic factor
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