Optimal consumption and investment under partial information
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References listed on IDEAS
- 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.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
- Jörn Sass & Ralf Wunderlich, 2010. "Optimal portfolio policies under bounded expected loss and partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(1), pages 25-61, August.
- Jorn Sass & Dorothee Westphal & Ralf Wunderlich, 2016. "Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift," Papers 1601.08155, arXiv.org, revised Mar 2016.
- repec:spr:compst:v:72:y:2010:i:1:p:25-61 is not listed on IDEAS
- repec:bpj:strimo:v:35:y:2018:i:1-2:p:1-21:n:1 is not listed on IDEAS
More about this item
KeywordsPortfolio optimization; Optimal consumption; Utility maximization; Partial Information; G11;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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