Optimizing Consumption and Investment: The Case of Partial Information

DOI10.1007/978-3-540-77903-2_9zbMath1209.91187OpenAlexW1565469272MaRDI QIDQ5391877

Jörn Sass, Wolfgang Putschögl, Markus Hahn

Publication date: 7 April 2011

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-77903-2_9

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• Optimal consumption and investment under partial information
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information

This page was built for publication: Optimizing Consumption and Investment: The Case of Partial Information