Expected power-utility maximization under incomplete information and with Cox-process observations
type: Item
instance of: scholarly article
title: Expected power-utility maximization under incomplete information and with Cox-process observations
zbMATH Open document ID: 1259.93133
author: K. Fujimoto
author: Hideo Nagai
author: Wolfgang J. Runggaldier
published in: Applied Mathematics and Optimization
publication date: 2013-04-15T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93C41
zbMATH DE Number: 6153914
zbMATH Keywords: portfolio optimization
zbMATH Keywords: stochastic control
zbMATH Keywords: incomplete information
zbMATH Keywords: regime-switching models
zbMATH Keywords: Cox-process observations
zbMATH Keywords: random trading times
zbMATH Keywords: unobserved Markovian factor process
zbMATH Keywords: expected terminal power utility
MaRDI profile type: Publication
full work available at URL: s00245-012-9180-2
OpenAlex ID: W2085138102
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DOI: 10.1007/S00245-012-9180-2
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description: scientific article; zbMATH DE number 6153914