We investigate the problem of maximizing the expected utility from terminal wealth of an HARA investor when the market price of risk is described by an unobservable random variable. We compute the optimal portfolios explicitly and compare them with the ones corresponding to the full observation case.

Mainini, A., Longo, M., Portfolio comparison with complete and partial observation for a hara investor, <<Portfolio comparison with complete and partial observation for a hara investor>>, 2013; 13/9 (13/9): 3-18 [http://hdl.handle.net/10807/55734]

Portfolio comparison with complete and partial observation for a hara investor

Mainini, Alessandra;Longo, Michele
2013

Abstract

We investigate the problem of maximizing the expected utility from terminal wealth of an HARA investor when the market price of risk is described by an unobservable random variable. We compute the optimal portfolios explicitly and compare them with the ones corresponding to the full observation case.
Inglese
Portfolio comparison with complete and partial observation for a hara investor
978-88-343-2655-8
Mainini, A., Longo, M., Portfolio comparison with complete and partial observation for a hara investor, <<Portfolio comparison with complete and partial observation for a hara investor>>, 2013; 13/9 (13/9): 3-18 [http://hdl.handle.net/10807/55734]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/55734
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