Optimal consumption and investment under partial information

We consider a stock market model where prices satisfy a stochastic differential equation with a stochastic drift process. The investor’s objective is to maximize the expected utility of consumption and terminal wealth under partial information; the latter meaning that investment decisions are based...

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Bibliographic details
Volume: 31
Main Author: Putschögl, Wolfgang
Sass, Jörn
Format: Journal Article
Language: English
Place of publication: Milan Springer Milan 01.11.2008
Springer
published in: Decisions in economics and finance Vol. 31; no. 2; pp. 137 - 170
Data of publication: 20081100
ISSN: 1593-8883
1129-6569
EISSN: 1129-6569
Discipline: Economics
Social Sciences (General)
Series: Decisions in Economics and Finance
Subjects:
G11
Online Access: Fulltext
Database: RePEc
RePEc IDEAS
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