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Optimal investment and consumption under partial information. (2016). Lindensjo, Kristoffer.
In: Mathematical Methods of Operations Research.
RePEc:spr:mathme:v:83:y:2016:i:1:p:87-107.

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Cited: 4

Citations received by this document

Cites: 27

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Cocites: 32

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Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole.
    In: Papers.
    RePEc:arx:papers:2212.04394.

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  2. Implicit incentives for fund managers with partial information. (2021). nicolosi, marco ; Herzel, Stefano ; Colaneri, Katia ; Angelini, Flavio.
    In: Computational Management Science.
    RePEc:spr:comgts:v:18:y:2021:i:4:d:10.1007_s10287-021-00404-w.

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  3. The value of knowing the market price of risk. (2021). nicolosi, marco ; Herzel, Stefano ; Colaneri, Katia.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03596-7.

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  4. Implicit Incentives for Fund Managers with Partial Information. (2020). Colaneri, Katia ; Angelini, Flavio ; Nicolosi, Marco ; Herzel, Stefano.
    In: Papers.
    RePEc:arx:papers:2011.07871.

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References

References cited by this document

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Cocites

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  2. Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger.
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  3. Duality in optimal consumption--investment problems with alternative data. (2022). Wong, Hoi Ying ; Chen, Kexin.
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  4. Bayesian optimal investment and reinsurance with dependent financial and insurance risks. (2021). Leimcke, Gregor ; Bauerle, Nicole.
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  5. Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia.
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  6. Regime switching affine processes with applications to finance. (2020). Winands, Erik ; Spreij, Peter ; Mandjes, Michel ; Beek, Misha .
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  7. A BSDE-based approach for the optimal reinsurance problem under partial information. (2020). Ceci, C ; Brachetta, M.
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  8. A Variational Analysis Approach to Solving the Merton Problem. (2020). Jaimungal, Sebastian ; Al-Aradi, Ali.
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  9. Robust Optimal Investment and Reinsurance Problems with Learning. (2020). Leimcke, Gregor ; Bauerle, Nicole.
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  10. Active and Passive Portfolio Management with Latent Factors. (2019). Jaimungal, Sebastian ; Al-Aradi, Ali.
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  11. Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2019). Mabitsela, Lesedi ; Guambe, Calisto ; Kufakunesu, Rodwell.
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  12. Optimal Liquidation under Partial Information with Price Impact. (2019). Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia ; Szolgyenyi, Michaela.
    In: Papers.
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  13. OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS. (2018). Ye, C ; Ren, D ; Liu, R H.
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  14. Approximation for portfolio optimization in a financial market with shot-noise jumps. (2018). Sass, Jorn ; Putyatina, Oleksandra.
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  15. Trading algorithms with learning in latent alpha models. (2018). Jaimungal, Sebastian ; Casgrain, Philippe.
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  16. Portfolio optimization for a large investor controlling market sentiment under partial information. (2017). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan.
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  17. LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS. (2016). Longo, Michele ; Mainini, Alessandra .
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  18. Optimal investment and consumption under partial information. (2016). Lindensjo, Kristoffer.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:83:y:2016:i:1:p:87-107.

    Full description at Econpapers || Download paper

  19. Optimal investment and consumption under partial information. (2016). Lindensjo, Kristoffer.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:83:y:2016:i:1:d:10.1007_s00186-015-0521-1.

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  20. Learning and Portfolio Decisions for HARA Investors. (2015). Mainini, Alessandra ; Longo, Michele .
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  21. Optimal reinsurance and investment with unobservable claim size and intensity. (2014). Bayraktar, Erhan ; Liang, Zhibin.
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  22. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
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  23. Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models. (2014). Lopez, Oscar ; Serrano, Rafael .
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  24. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2013). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
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  25. Information and optimal investment in defaultable assets. (2013). di Nunno, Giulia ; Sjursen, Steffen .
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  26. Optimal investment under partial information. (2010). Bjork, Tomas ; Davis, Mark ; Landen, Camilla .
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  27. Optimal Investment under Partial Information. (2010). Landen, Camilla ; Bjork, Tomas ; Davis, Mark H. A., .
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  28. Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model. (2009). Rieder, Ulrich ; Winter, Jens .
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  29. MDP algorithms for portfolio optimization problems in pure jump markets. (2009). Rieder, Ulrich ; Bauerle, Nicole.
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  30. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang .
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  31. A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard.
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