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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More about this item
KeywordsBackward stochastic differential equation; semimartingale market model; exponential utility maximization problem; partial information; suffcient filtration.;
- 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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