Portfolio selection under incomplete information

Simon Brendle

Stochastic Processes and their Applications, 2006, vol. 116, issue 5, 701-723

Abstract: We study an optimal investment problem under incomplete information and power utility. We analytically solve the Bellman equation, and identify the optimal portfolio policy. Moreover, we compare the solution to the value function in the fully observable case, and quantify the loss of utility due to incomplete information.

Date: 2006
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Citations: View citations in EconPapers (43)

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