A Benchmark Approach to Portfolio Optimization under Partial Information

Eckhard Platen () and Wolfgang Runggaldier

Asia-Pacific Financial Markets, 2007, vol. 14, issue 1, 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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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s10690-007-9045-x

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