Recursive utility maximization under partial information
Shaolin Ji and
Papers from arXiv.org
This paper concerns the recursive utility maximization problem 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 a characterization of the saddle point of the game is obtained. Then, we study the K-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.
New Economics Papers: this item is included in nep-mic and nep-upt
References: View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1605.05802 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1605.05802
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().