Asymptotics of utility from terminal wealth for partially observed portfolios
Applicationes Mathematicae (2012)
- Volume: 39, Issue: 4, page 445-461
- ISSN: 1233-7234
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topŁukasz Stettner. "Asymptotics of utility from terminal wealth for partially observed portfolios." Applicationes Mathematicae 39.4 (2012): 445-461. <http://eudml.org/doc/279920>.
@article{ŁukaszStettner2012,
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.},
author = {Łukasz Stettner},
journal = {Applicationes Mathematicae},
keywords = {utility; terminal wealth; asymptotics; partially observed economic factors},
language = {eng},
number = {4},
pages = {445-461},
title = {Asymptotics of utility from terminal wealth for partially observed portfolios},
url = {http://eudml.org/doc/279920},
volume = {39},
year = {2012},
}
TY - JOUR
AU - Łukasz Stettner
TI - Asymptotics of utility from terminal wealth for partially observed portfolios
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 4
SP - 445
EP - 461
AB - 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.
LA - eng
KW - utility; terminal wealth; asymptotics; partially observed economic factors
UR - http://eudml.org/doc/279920
ER -
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