Recursive Utility Maximization for Terminal Wealth under Partial Information

Shaolin Ji and Xiaomin Shi

Mathematical Problems in Engineering, 2016, vol. 2016, 1-12

Abstract:

This paper concerns the recursive utility maximization problem for terminal wealth under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation of the recursive utility which leads to a stochastic game problem and characterization of the saddle point of the game is obtained. Then, we study the -ignorance case and explicit saddle points of several examples are obtained. At last, when the generator of the recursive utility is smooth, we employ the terminal perturbation method to characterize the optimal terminal wealth.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2016/2813707.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2016/2813707.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:2813707

DOI: 10.1155/2016/2813707

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().