EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY

DOI10.1142/S0219024917500297zbMath1396.91674arXiv1703.04423MaRDI QIDQ5357512

Stefanie Grether, Nicole Bäuerle

Publication date: 8 September 2017

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

Full work available at URL: https://arxiv.org/abs/1703.04423

zbMATH Keywords

stochastic orderinginvestment problemBayes approach

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Optimal retirement planning under partial information

Cites Work

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• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Portfolio optimization with unobservable Markov-modulated drift process

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