Asymptotics of utility from terminal wealth for partially observed portfolios
Łukasz Stettner
Applicationes Mathematicae, Tome 39 (2012), p. 445-461 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2012-01-01
EUDML-ID : urn:eudml:doc:279920 
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     author = {\L ukasz Stettner},
     title = {Asymptotics of utility from terminal wealth for partially observed portfolios},
     journal = {Applicationes Mathematicae},
     volume = {39},
     year = {2012},
     pages = {445-461},
     zbl = {1253.93141},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-4}
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Łukasz Stettner. Asymptotics of utility from terminal wealth for partially observed portfolios. Applicationes Mathematicae, Tome 39 (2012) pp. 445-461. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-4/