Optimal trading strategy for an investor: the case of partial information
- 1 August 1998
- journal article
- Published by Elsevier in Stochastic Processes and their Applications
- Vol. 76 (1) , 77-97
- https://doi.org/10.1016/s0304-4149(98)00032-5
Abstract
No abstract availableKeywords
This publication has 15 references indexed in Scilit:
- Portfolio choice and the Bayesian Kelly criterionAdvances in Applied Probability, 1996
- Utility maximization with partial informationStochastic Processes and their Applications, 1995
- An extension of clark' formulaStochastics and Stochastic Reports, 1991
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional caseJournal of Economic Theory, 1991
- A generalized clark representation formula, with application to optimal portfoliosStochastics and Stochastic Reports, 1991
- The Consumption-Based Capital Asset Pricing ModelEconometrica, 1989
- Optimal consumption and portfolio policies when asset prices follow a diffusion processJournal of Economic Theory, 1989
- Optimal Portfolio Choice Under Incomplete InformationThe Journal of Finance, 1986
- Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable EconomyThe Journal of Finance, 1986
- An Intertemporal General Equilibrium Model of Asset PricesEconometrica, 1985