Optimal trading strategy for an investor: the case of partial information
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References listed on IDEAS
- Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
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More about this item
KeywordsUtility function Security prices and their filtration Trading strategy Optimization Gradient operator Clark's formula;
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