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dc.contributor.authorBjörk, Tomasen_US
dc.contributor.authorDavis, Mark H. A.en_US
dc.contributor.authorLandén, Camillaen_US
dc.date.accessioned2012-02-14en_US
dc.date.accessioned2012-03-28T13:07:06Z-
dc.date.available2012-03-28T13:07:06Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/56244-
dc.description.abstractWe 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 problem under partial information and for the cases of power, log, and exponential utility we manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio strategy. This is done without any assumptions about the dynamical structure of the return processes. We also show how various explicit results in the existing literature are derived as special cases of the general theory.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 739en_US
dc.subject.jelB26en_US
dc.subject.jelC61en_US
dc.subject.ddc330en_US
dc.subject.keywordOptimal controlen_US
dc.subject.keywordinvestment theoryen_US
dc.subject.keywordfilteringen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwKontrolltheorieen_US
dc.subject.stwDynamische Optimierungen_US
dc.titleOptimal investment under partial informationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684935325en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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