Optimal consumption and investment under partial information

被引：21

作者：

Putschögl W. ^{[1
]}

Sass J. ^{[1
]}

机构：

[1] RICAM, Austrian Academy of Sciences, 4040 Linz

来源：

Decisions in Economics and Finance | 2008年 / 31卷 / 2期

基金：

奥地利科学基金会;

关键词：

Optimal consumption; Partial Information; Portfolio optimization; Utility maximization;

D O I：

10.1007/s10203-008-0082-3

中图分类号：

学科分类号：

摘要：

We consider a stock market model where prices satisfy a stochastic differential equation with a stochastic drift process. The investor's objective is to maximize the expected utility of consumption and terminal wealth under partial information; the latter meaning that investment decisions are based on the knowledge of the stock prices only. We derive explicit representations of optimal consumption and trading strategies using Malliavin calculus. The results apply to both classical models for the drift process, a mean reverting Ornstein-Uhlenbeck process and a continuous time Markov chain. The model can be transformed to a complete market model with full information. This allows to use results on optimization under convex constraints which are used in the numerical part for the implementation of more stable strategies. © Springer-Verlag 2008.

引用

页码：137 / 170

页数：33

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