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Optimal consumption and investment under partial information

Author

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  • Wolfgang Putschögl

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  • Jörn Sass

    ()

Abstract

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Suggested Citation

  • Wolfgang Putschögl & Jörn Sass, 2008. "Optimal consumption and investment under partial information," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(2), pages 137-170, November.
  • Handle: RePEc:spr:decfin:v:31:y:2008:i:2:p:137-170
    DOI: 10.1007/s10203-008-0082-3
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    References listed on IDEAS

    as
    1. 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.
    2. Hua He & Neil D. Pearson, 1991. "Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 1-10.
    3. Gennotte, Gerard, 1986. " Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-746, July.
    4. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
    5. Lakner, Peter, 1995. "Utility maximization with partial information," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 247-273, April.
    6. 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.
    7. Ioannis Karatzas & Xlng-Xlong Xue, 1991. "A Note On Utility Maximization Under Partial Observations," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 57-70.
    8. 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.
    9. Brendle, Simon, 2006. "Portfolio selection under incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 701-723, May.
    10. 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.
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. repec:spr:compst:v:72:y:2010:i:1:p:25-61 is not listed on IDEAS
    5. repec:bpj:strimo:v:35:y:2018:i:1-2:p:1-21:n:1 is not listed on IDEAS

    More about this item

    Keywords

    Portfolio optimization; Optimal consumption; Utility maximization; Partial Information; G11;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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