A Benchmark Approach to Portfolio Optimization under Partial Information

Eckhard Platen () and Wolfgang Runggaldier

Asia-Pacific Financial Markets, 2007, vol. 14, issue 1, pages 25-43

Keywords: Portfolio optimization; Partial information; Filtering; Growth optimal portfolio; Expected utility maximization; Utility indifference pricing; Real world pricing formula; G10; G13; Primary 90A12; Secondary 60G30; 62P20 (search for similar items in EconPapers)
Date: 2007

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Working Paper: A Benchmark Approach to Portfolio Optimization under Partial Information (2007)
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