| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156632 | Stochastic Processes and their Applications | 2006 | 23 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Simon Brendle,