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Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A.; Landén, Camilla - 2010 - Reprinted

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10009487225

Linear estimation and stochastic control

Davis, Mark H. A. - 1977 - 1. publ.

Persistent link: https://www.econbiz.de/10000089406

Debiased expert forecasts in continuous-time asset allocation

Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012226106

On time-inconsistent stochastic control in continuous time

Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360

Persistent link: https://www.econbiz.de/10011944378

A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592

Persistent link: https://www.econbiz.de/10010396002

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230