AbstractWe study an optimal investment problem under incomplete information and power utility. We analytically solve the Bellman equation, and identify the optimal portfolio policy. Moreover, we compare the solution to the value function in the fully observable case, and quantify the loss of utility due to incomplete information
We develop and analyze a model of optimal portfolio choice with a finite time horizon T. The investo...
We study the optimal investment strategy for maximizing the expected utility of the terminal wealth ...
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has in...
AbstractWe study an optimal investment problem under incomplete information and power utility. We an...
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in th...
AbstractIn this note we prove Hölder-type inequalities for products of certain functionals of correl...
AbstractWe shall address here the optimization problem of an investor who wants to maximize the expe...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
We present an optimal portfolio problem with logarithmic utility in the following 3 cases: \begin{it...
We consider the problem of maximization of expected utility from terminal wealth for log and power u...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
AbstractIn this paper we consider the power utility maximization problem under partial information i...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we wi...
We give an overview of the theory and methods involved in portfolio optimizat- ion problems with par...
We develop and analyze a model of optimal portfolio choice with a finite time horizon T. The investo...
We study the optimal investment strategy for maximizing the expected utility of the terminal wealth ...
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has in...
AbstractWe study an optimal investment problem under incomplete information and power utility. We an...
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in th...
AbstractIn this note we prove Hölder-type inequalities for products of certain functionals of correl...
AbstractWe shall address here the optimization problem of an investor who wants to maximize the expe...
This paper analyses the portfolio problem of an investor who wants to maximize the expected power ut...
We present an optimal portfolio problem with logarithmic utility in the following 3 cases: \begin{it...
We consider the problem of maximization of expected utility from terminal wealth for log and power u...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
AbstractIn this paper we consider the power utility maximization problem under partial information i...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we wi...
We give an overview of the theory and methods involved in portfolio optimizat- ion problems with par...
We develop and analyze a model of optimal portfolio choice with a finite time horizon T. The investo...
We study the optimal investment strategy for maximizing the expected utility of the terminal wealth ...
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has in...
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