Exponential utility maximization under partial information

DOI10.1007/s00780-009-0114-zzbMath1226.91091OpenAlexW1978535769MaRDI QIDQ650760

Michael Mania, Marina Santacroce

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0114-z

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (17)

Power utility maximization under partial information: some convergence results ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ Forward-backward systems for expected utility maximization ⋮ Optimal reinsurance via BSDEs in a partially observable model with jump clusters ⋮ Optimal consumption-investment under partial information in conditionally log-Gaussian models ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Utility indifference valuation for jump risky assets ⋮ UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ Backward SDEs for control with partial information ⋮ Optimal proportional reinsurance and investment under partial information ⋮ Optimal reinsurance and investment in a diffusion model ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting

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