Asset Details
Do you wish to reserve the book?
An optimal consumption and investment problem with partial information
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
An optimal consumption and investment problem with partial information
Do you wish to request the book?
An optimal consumption and investment problem with partial information
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
An optimal consumption and investment problem with partial information
2018
Overview
We consider a finite-time optimal consumption problem where an investor wants to maximize the expected hyperbolic absolute risk aversion utility of consumption and terminal wealth. We treat a stochastic factor model in which the mean returns of risky assets depend linearly on underlying economic factors formulated as the solutions of linear stochastic differential equations. We discuss the partial information case in which the investor cannot observe the factor process and uses only past information of risky assets. Then our problem is formulated as a stochastic control problem with partial information. We derive the Hamilton–Jacobi–Bellman equation. We solve this equation to obtain an explicit form of the value function and the optimal strategy for this problem. Moreover, we also introduce the results obtained by the martingale method.
Publisher
Cambridge University Press,Applied Probability Trust
