Title of article :
Portfolio selection under incomplete information
Author/Authors :
Brendle، نويسنده , , Simon، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
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
Journal title :
Stochastic Processes and their Applications