Portfolio selection under incomplete information
AbstractWe study an optimal investment problem under incomplete information and power utility. We analytically solve the Bellman equation, and identify the optimal portfolio policy. Moreover, we compare the solution to the value function in the fully observable case, and quantify the loss of utility due to incomplete information.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 116 (2006)
Issue (Month): 5 (May)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jörn Sass & Ralf Wunderlich, 2010. "Optimal portfolio policies under bounded expected loss and partial information," Computational Statistics, Springer, vol. 72(1), pages 25-61, August.
- 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.
- Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
- Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Computational Statistics, Springer, vol. 71(2), pages 371-399, April.
- Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
If references are entirely missing, you can add them using this form.