A Note On Utility Maximization Under Partial Observations1
Ioannis Karatzas and
Xlng‐Xlong Xue
Mathematical Finance, 1991, vol. 1, issue 2, 57-70
Abstract:
Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in “dynamically incomplete” financial markets under partial observations.
Date: 1991
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https://doi.org/10.1111/j.1467-9965.1991.tb00009.x
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