Title of article
Portfolio selection under incomplete information
Author/Authors
Brendle، نويسنده , , Simon، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
23
From page
701
To page
723
Abstract
We 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.
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577785
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