Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in "dynamically incomplete" financial markets under partial observations. Copyright 1991 Blackwell Publishers.
AbstractIn the present paper we address two maximization problems: the maximization of expected tota...
We consider the exponential utility maximization problem under partial information. The underlying a...
International audienceWe address the maximization problem of expected utility from terminal wealth. ...
We give an overview of the theory and methods involved in portfolio optimizat- ion problems with par...
International audienceThis paper studies the question of filtering and maximizing terminal wealth fr...
International audienceThis paper studies the question of filtering and maximizing terminal wealth fr...
The effectiveness of utility-maximization techniques for portfolio management relies on our ability ...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
The paper studies the problem of maximizing the expected utility of terminal wealth in the framework...
This paper provides an easy verifiable regularity condition under which the investor’s utility maxim...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
We consider the exponential utility maximization problem under partial information. The underlying a...
This paper studies the question of filtering and maximizing terminal wealth from expected utility in...
This paper solves in great generality a problem in mathematical finance: to find a solution to the p...
AbstractIn the present paper we address two maximization problems: the maximization of expected tota...
We consider the exponential utility maximization problem under partial information. The underlying a...
International audienceWe address the maximization problem of expected utility from terminal wealth. ...
We give an overview of the theory and methods involved in portfolio optimizat- ion problems with par...
International audienceThis paper studies the question of filtering and maximizing terminal wealth fr...
International audienceThis paper studies the question of filtering and maximizing terminal wealth fr...
The effectiveness of utility-maximization techniques for portfolio management relies on our ability ...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
The paper studies the problem of maximizing the expected utility of terminal wealth in the framework...
This paper provides an easy verifiable regularity condition under which the investor’s utility maxim...
In this paper we study the expected utility maximization problem for discrete-time incomplete financ...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
We consider the exponential utility maximization problem under partial information. The underlying a...
This paper studies the question of filtering and maximizing terminal wealth from expected utility in...
This paper solves in great generality a problem in mathematical finance: to find a solution to the p...
AbstractIn the present paper we address two maximization problems: the maximization of expected tota...
We consider the exponential utility maximization problem under partial information. The underlying a...
International audienceWe address the maximization problem of expected utility from terminal wealth. ...
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