Portfolio comparison with complete and partial observation for a hara investor

Alessandra Mainini; Michele Longo

Portfolio comparison with complete and partial observation for a hara investor

Research output: Working paper

Abstract

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 language	English
Publisher	Vita e Pensiero
Number of pages	16
ISBN (Print)	978-88-343-2655-8
Publication status	Published - 2013

Keywords

Bayesian control
Hamilton- Jacobi-Bellman equation
Investment models

Cite this

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T1 - Portfolio comparison with complete and partial observation for a hara investor

AU - Mainini, Alessandra

AU - Longo, Michele

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KW - Bayesian control

KW - Hamilton- Jacobi-Bellman equation

KW - Investment models

KW - Bayesian control

KW - Hamilton- Jacobi-Bellman equation

KW - Investment models

UR - http://hdl.handle.net/10807/55734

M3 - Working paper

SN - 978-88-343-2655-8

BT - Portfolio comparison with complete and partial observation for a hara investor

PB - Vita e Pensiero

ER -

Portfolio comparison with complete and partial observation for a hara investor

Abstract

Keywords

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