Portfolio optimization under partial information and cara preferences

Michele Longo, Alessandra Mainini

Risultato della ricerca: Working paper

Abstract

We consider the problem of maximizing the expected utility from terminal wealth in the case of CARA preferences and when the mean return rate of the stock is an unknown nitestate random variable. We reduce the problem within a complete observation setting and then, by means of dynamic programming techniques, we explicitly solve it and compare the optimal policy with the one relative to the complete observation case.
Lingua originaleEnglish
EditoreVita e Pensiero
Numero di pagine17
ISBN (stampa)978-88-343-2654-1
Stato di pubblicazionePubblicato - 2013

Keywords

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

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