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A Benchmark Approach to Portfolio Optimization under Partial Information

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Author Info
Eckhard Platen ()
Wolfgang Runggaldier

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-007-9045-x
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 14 (2007)
Issue (Month): 1 (March)
Pages: 25-43
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:14:y:2007:i:1:p:25-43

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: Portfolio optimization; Partial information; Filtering; Growth optimal portfolio; Expected utility maximization; Utility indifference pricing; Real world pricing formula; G10; G13; Primary 90A12; Secondary 60G30; 62P20;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jörn Sass & Ulrich Haussmann, 2004. "Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain," Finance and Stochastics, Springer, vol. 8(4), pages 553-577, November. [Downloadable!] (restricted)
  2. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  3. E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
    Other versions:
  4. Nicole Bäuerle & Ulrich Rieder, 2007. "Portfolio Optimization With Jumps And Unobservable Intensity Process," Mathematical Finance, Blackwell Publishing, vol. 17(2), pages 205-224. [Downloadable!] (restricted)
  5. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389. [Downloadable!] (restricted)
  6. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  7. Ramaprasad Bhar & Carl Chiarella & Wolfgang J. Runggaldier, 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(1). [Downloadable!]
  8. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Blackwell Publishing, vol. 16(1), pages 131-151. [Downloadable!] (restricted)
    Other versions:
  9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  10. Babbs, Simon H. & Nowman, K. Ben, 1999. "Kalman Filtering of Generalized Vasicek Term Structure Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 115-130, March. [Downloadable!]
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