Optimal investment and consumption under partial information
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s00186-015-0521-1.pdf
Reference27 articles.
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2. Bäuerle N, Rieder U (2007) Portfolio optimization with jumps and unobservable intensity process. Math Finance 17(2):205–224
3. Björk T, Davis MH, Landén C (2010) Optimal investment under partial information. Math Methods Oper Res 71(2):371–399
4. Callegaro G, Di Masi G, Runggaldier W (2006) Portfolio optimization in discontinuous markets under incomplete information. Asia Pac Financ Mark 13(4):373–394
5. Dothan MU, Feldman D (1986) Equilibrium interest rates and multiperiod bonds in a partially observable economy. J Finance 41(2):369–382
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