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.
Lingua originaleEnglish
EditoreVita e Pensiero
Numero di pagine16
ISBN (stampa)978-88-343-2655-8
Stato di pubblicazionePubblicato - 2013


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


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