PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION

DOI10.1017/S0269964815000194zbMath1414.91347arXiv1003.6002OpenAlexW3125817545MaRDI QIDQ5358060

Thomas Lim, Marie-Claire Quenez

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.6002

zbMATH Keywords

stochastic controlportfolio optimizationfull/partial informationlogarithmic, power and exponential utility functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

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