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Optimal consumption and investment under partial information
16 references·4 citing·29 second hop
Optimal consumption and investment under partial information (2008)Optimal consumption and investment under …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Optimal consumption from inve…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Stylized facts of daily return series and the hidden Markov model (1998)Stylized facts of daily retur…Optimal trading strategy for an investor: the case of partial information (1998)Optimal trading strategy for …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Optimal Portfolio Choice Under Incomplete Information (1986)Optimal Portfolio Choice Unde…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimal Retirement Under Partial Information (2021)Optimal Retirement Under Part…Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (2019)Portfolio choice, portfolio l…An optimal consumption and investment problem with partial information (2018)An optimal consumption and in…Optimal portfolio policies under bounded expected loss and partial information (2010)Optimal portfolio policies un…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Who Should Buy Long-Term Bonds? (2001)A Guided Tour through Quadratic Hedging Approaches (2010)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Does Option Compensation Increase Managerial Risk Appetite? (2000)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1986Optimal Portfolio Choice Under Incomplete Information436 cited
  • 1998Stylized facts of daily return series and the hidden Markov model346 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 cited

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1998
Optimal trading strategy for an investor: the case of partial information
231 cited
  • 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited
  • Cited by

    • 2018An optimal consumption and investment problem with partial information27 cited
    • 2021Optimal Retirement Under Partial Information23 cited
    • 2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty23 cited
    • 2010Optimal portfolio policies under bounded expected loss and partial information21 cited