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Portfolio selection under incomplete information
8 references·15 citing·44 second hop
Portfolio selection under incomplete information (2005)Portfolio selection under incomplete info…Optimal investment under partial information (2010)Optimal investment under part…Statistics of Random Processes (2001)Statistics of Random ProcessesLearning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability…Assessing Asset Pricing Anomalies (2001)Assessing Asset Pricing Anoma…The Role of Learning in Dynamic Portfolio Decisions (1998)The Role of Learning in Dynam…Optimal trading strategy for an investor: the case of partial information (1998)Optimal trading strategy for …Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Utility maximization with partial information (1995)Utility maximization with par…Optimal Retirement Under Partial Information (2021)Optimal Retirement Under Part…Equilibrium investment strategy for a DC pension plan with learning about stock return predictability (2021)Equilibrium investment strate…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…Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions (2017)Perturbation Analysis for Inv…PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION (2016)PAIRS TRADING OF TWO ASSETS W…Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean–Variance Criterion (2016)Equilibrium Investment Strate…Time-consistent investment strategy under partial information (2015)Time-consistent investment st…PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (2015)PORTFOLIO OPTIMIZATION IN AFF…Filtering and portfolio optimization with stochastic unobserved drift in asset returns (2015)Filtering and portfolio optim…PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS (2011)PORTFOLIO OPTIMIZATION UNDER …Optimal portfolio policies under bounded expected loss and partial information (2010)Optimal portfolio policies un…Optimal investment with inside information and parameter uncertainty (2010)Optimal investment with insid…Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem (2010)Explicit Solution to a Certai…Optimal consumption and investment under partial information (2008)Optimal consumption and inves…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)Stochastic Differential Equations: Theory and Applications. 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this work references cited by second hop

References

  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2001Statistics of Random Processes514 cited
  • 2001Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation450 cited
  • 1998The Role of Learning in Dynamic Portfolio Decisions389 cited
  • 1998Optimal trading strategy for an investor: the case of partial information231 cited
  • 1995Utility maximization with partial information172 cited
  • 2001Assessing Asset Pricing Anomalies129 cited
  • 2010Optimal investment under partial information129 cited

Cited by

  • 2011PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS53 cited
  • 2021Equilibrium investment strategy for a DC pension plan with learning about stock return predictability36 cited
  • 2008Optimal consumption and investment under partial information34 cited
  • 2015Filtering and portfolio optimization with stochastic unobserved drift in asset returns34 cited
  • 2015Time-consistent investment strategy under partial information30 cited
  • 2010Optimal investment with inside information and parameter uncertainty30 cited
  • 2016PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION

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29 cited
  • 2018An optimal consumption and investment problem with partial information27 cited
  • 2015PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING27 cited
  • 2017Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions23 cited
  • 2021Optimal Retirement Under Partial Information23 cited
  • 2010Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem23 cited
  • 2019Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty23 cited
  • 2010Optimal portfolio policies under bounded expected loss and partial information21 cited
  • 2016Equilibrium Investment Strategy for a DC Plan With Partial Information and Mean–Variance Criterion20 cited