Optimal consumption and investment under partial information
type: Item
instance of: scholarly article
title: Optimal consumption and investment under partial information
zbMATH Open document ID: 1165.91410
author: Wolfgang Putschögl
author: Jörn Sass
published in: Decisions in Economics and Finance
publication date: 2009-07-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5577655
MaRDI profile type: Publication
full work available at URL: s10203-008-0082-3
OpenAlex ID: W1979377138
cites work: Portfolio selection under incomplete information
cites work: On a robust version of the integral representation formula of nonlinear filtering
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: Q4357645
cites work: Convex duality in constrained portfolio optimization
cites work: New finite-dimensional filters and smoothers for noisily observed Markov chains
cites work: Estimating the implicit interest rate of a risky asset
cites work: A complete explicit solution to the log-optimal portfolio problem.
cites work: Portfolio optimization with non-constant volatility and partial information
cites work: Q3160506
cites work: Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
cites work: Time discretization of continuous-time filters and smoothers for HMM parameter estimation
cites work: Q3908216
cites work: Q4002114
cites work: Q4368791
cites work: A Note On Utility Maximization Under Partial Observations1
cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets.
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: An extension of clark' formula
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Utility maximization with partial information
cites work: Optimal trading strategy for an investor: the case of partial information
cites work: Q4148534
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
cites work: Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
cites work: A generalized clark representation formula, with application to optimal portfolios
cites work: Optimal portfolio in partially observed stochastic volatility models.
cites work: A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
cites work: Portfolio optimization with unobservable Markov-modulated drift process
cites work: Utility maximization with convex constraints and partial information
cites work: Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
cites work: Utility maximization with a stochastic clock and an unbounded random endowment
DOI: 10.1007/S10203-008-0082-3
description: scientific article; zbMATH DE number 5577655