Portfolio comparison with complete and partial observation for a hara investor

Michele Longo, Alessandra Mainini

Research output: Working paper


We investigate the problem of maximizing the expected utility from terminal wealth of an HARA investor when the market price of risk is described by an unobservable random variable. We compute the optimal portfolios explicitly and compare them with the ones corresponding to the full observation case.
Original languageEnglish
PublisherVita e Pensiero
Number of pages16
ISBN (Print)978-88-343-2655-8
Publication statusPublished - 2013


  • Bayesian control
  • Hamilton- Jacobi-Bellman equation
  • Investment models

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