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A Note On Utility Maximization Under Partial Observations

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  • Ioannis Karatzas
  • Xlng-Xlong Xue
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    Abstract

    Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in "dynamically incomplete" financial markets under partial observations. Copyright 1991 Blackwell Publishers.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.1991.tb00009.x
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 1 (1991)
    Issue (Month): 2 ()
    Pages: 57-70

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    Handle: RePEc:bla:mathfi:v:1:y:1991:i:2:p:57-70

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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    Cited by:
    1. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
    2. Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
    3. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
    4. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
    5. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers.
    6. Naik, Narayan Y., 1997. "On aggregation of information in competitive markets: The dynamic case," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1199-1227, June.
    7. Frank Riedel, 1998. "Imperfect Information Leads to Complete Markets if Dividends are Diffusions," Finance 9808002, EconWPA.
    8. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
    9. Thomas Lim & Marie-Claire Quenez, 2010. "Portfolio optimization in a default model under full/partial information," Papers 1003.6002, arXiv.org, revised Nov 2013.
    10. Naik, Narayan Y., 1997. "Multi-period information markets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1229-1258, June.
    11. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
    12. Wolfgang Putschögl & Jörn Sass, 2008. "Optimal consumption and investment under partial information," Decisions in Economics and Finance, Springer, vol. 31(2), pages 137-170, November.
    13. Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
    14. Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.
    15. Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.

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