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A risk-sensitive stochastic control approach to an optimal investment problem with partial information

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  • Hiroaki Hata

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  • Yasunari Iida

Abstract

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Suggested Citation

  • Hiroaki Hata & Yasunari Iida, 2006. "A risk-sensitive stochastic control approach to an optimal investment problem with partial information," Finance and Stochastics, Springer, vol. 10(3), pages 395-426, September.
  • Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:395-426 DOI: 10.1007/s00780-006-0010-8
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    File URL: http://hdl.handle.net/10.1007/s00780-006-0010-8
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    References listed on IDEAS

    as
    1. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, pages 691-721.
    2. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December.
    3. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    4. David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
    5. Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
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    Citations

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    Cited by:

    1. Tadashi Hayashi & Jun Sekine, 2011. "Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 385-403, November.
    2. Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
    3. Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.

    More about this item

    Keywords

    Large deviations; Risk-sensitive control; Optimal investment; Infinite time horizon; Partial information; Riccati equations; 91B28; 93E11; 93E20; D81; G11;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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