On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
The equivalence of two conditions on weighted norm inequalities for martingales
Risk-sensitive dynamic asset management
Approximate nonlinear filtering by projection on exponential manifolds of densities
Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
A benchmark approach to portfolio optimization under partial information
Optimal control of linear stochastic systems with applications to time lag systems
A benchmark approach to filtering in finance
Risk-sensitive benchmarked asset management
Two-Time-Scale Approximation for Wonham Filters
Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
Exact finite-dimensional nonlinear filters
Exact finite-dimensional filters for certain diffusions with nonlinear drift
New finite-dimensional filters and smoothers for noisily observed Markov chains
Risk-sensitive portfolio optimization on infinite time horizon
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT
The Separation Principle in Stochastic Control, Redux
PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
On the Separation Theorem of Stochastic Control
Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach
Risk‐sensitive benchmarked asset management with expert forecasts

This page was built for publication: On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6586267)