Exponential utility maximization 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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- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CARF F-Series CARF-F-332, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
- Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-," CIRJE F-Series CIRJE-F-891, CIRJE, Faculty of Economics, University of Tokyo.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "Local risk-minimization under restricted information to asset prices," Papers 1312.4385, arXiv.org, revised Nov 2014.
- Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2015. "The F\"ollmer-Schweizer decomposition under incomplete information," Papers 1511.05465, arXiv.org, revised Mar 2016.
- Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
- Masaaki Fujii & Akihiko Takahashi, 2013. "Making Mean-Variance Hedging Implementable in a Partially Observable Market," CARF F-Series CARF-F-321, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
More about this item
KeywordsBackward stochastic differential equation; Semimartingale market model; Exponential utility maximization problem; Partial information; sufficient filtration; 90A09; 60H30; 90C39; C61; G11;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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