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Exponential utility maximization under partial information · Study

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ArticleExponential utility maximization under partial information

Michael Mania2009

Article2009

Exponential utility maximization under partial information

Michael Mania · Marina Santacroce

43 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2008Stochastic differential equations and applications 1976Stochastic Differential Equations and Applications 1979Calcul Stochastique et Problèmes de Martingales 2000Pricing Via Utility Maximization and Entropy 2005Utility maximization in incomplete markets 1994Continuous Exponential Martingales and BMO 2002Exponential Hedging and Entropic Penalties

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Year2009

Typearticle

Published2009-11-11

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-009-0114-z

openalex_workW1978535769

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