Asymptotics of utility from terminal wealth for partially observed portfolios

Tom 39 / 2012

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

Streszczenie

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.

Autorzy

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

Przeszukaj wydawnictwa IMPAN

Zbyt krótkie zapytanie. Wpisz co najmniej 4 znaki.

Przepisz kod z obrazka

Odśwież obrazek

Odśwież obrazek