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.
| Lingua originale | English |
|---|---|
| Editore | Vita e Pensiero |
| Numero di pagine | 16 |
| ISBN (stampa) | 978-88-343-2655-8 |
| Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- Bayesian control
- Hamilton- Jacobi-Bellman equation
- Investment models