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ArticlePortfolio selection under incomplete information

Simon Brendle2005

OA

Articlebronze2005

Portfolio selection under incomplete information

100 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1996Dynamic Nonmyopic Portfolio Behavior 2001Statistics of Random Processes 2001Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation 1998The Role of Learning in Dynamic Portfolio Decisions 1998Optimal trading strategy for an investor: the case of partial information 1995Utility maximization with partial information 2001Assessing Asset Pricing Anomalies 2010Optimal investment under partial information

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2011PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS 2021Equilibrium investment strategy for a DC pension plan with learning about stock return predictability 2008Optimal consumption and investment under partial information 2015Filtering and portfolio optimization with stochastic unobserved drift in asset returns 2015Time-consistent investment strategy under partial information 2010Optimal investment with inside information and parameter uncertainty

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Year2005

Typearticle

Published2005-12-16

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations100

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2005.11.010

openalex_workW2084543644

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2016PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION

2018An optimal consumption and investment problem with partial information