Utility maximization with convex constraints and partial information
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Publication:996765
DOI10.1007/s10440-007-9124-zzbMath1124.91037OpenAlexW1991982436MaRDI QIDQ996765
Publication date: 19 July 2007
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-007-9124-z
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Related Items (10)
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Optimal investment under dynamic risk constraints and partial information ⋮ UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS ⋮ Optimal investment under partial information ⋮ Optimal Investment-consumption for Partially Observed Jump-diffusions ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Optimal consumption and investment under partial information ⋮ Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting ⋮ Optimal investment and consumption under partial information
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