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Optimal consumption and investment under partial information

  • Wolfgang Putschögl

    ()

  • Jörn Sass

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10203-008-0082-3
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    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 31 (2008)
    Issue (Month): 2 (November)
    Pages: 137-170

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    Handle: RePEc:spr:decfin:v:31:y:2008:i:2:p:137-170
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    1. He, Hua & Pearson, Neil D., 1991. "Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case," Journal of Economic Theory, Elsevier, vol. 54(2), pages 259-304, August.
    2. Brendle, Simon, 2006. "Portfolio selection under incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 701-723, May.
    3. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    4. 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.
    5. Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996. "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance 117, Stockholm School of Economics.
    6. Elliott, Robert J. & Rishel, Raymond W., 1994. "Estimating the implicit interest rate of a risky asset," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 199-206, February.
    7. Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
    8. Gennotte, Gerard, 1986. " Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-46, July.
    9. Ioannis Karatzas & Xlng-Xlong Xue, 1991. "A Note On Utility Maximization Under Partial Observations," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 57-70.
    10. Lakner, Peter, 1995. "Utility maximization with partial information," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 247-273, April.
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