An optimal consumption and investment problem with partial information
نویسندگان
چکیده
منابع مشابه
Optimal investment under partial information
We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly. This leads to an optimal control probl...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2018
ISSN: 0001-8678,1475-6064
DOI: 10.1017/apr.2018.7