Asymptotics of utility from terminal wealth for partially observed portfolios

Volume 39 / 2012

Łukasz Stettner Applicationes Mathematicae 39 (2012), 445-461 MSC: Primary 93E20; Secondary 91B16. DOI: 10.4064/am39-4-4

Abstract

We study the asymptotical behaviour of expected utility from terminal wealth on a market in which asset prices depend on economic factors that are unobserved or observed with delay.

Authors

  • Łukasz StettnerInstitute of Mathematics
    Polish Academy of Sciences
    Śniadeckich 8
    00-956 Warszawa, Poland
    and
    Academy of Finance
    Warszawa, Poland
    e-mail

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