Optimal trading strategy for an investor: The case of partial information

Stochastic Processes and their Applications

Volumn 76, Issue 1, 1998, Pages 77-97

  Lakner, Peter ^a  

^a 44 W 4th St ^*  (United States)

Author keywords

Clark's formula; Gradient operator; Optimization; Security prices and their filtration; Trading strategy; Utility function

Indexed keywords

EID: 0038462809     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00032-5     Document Type: Article

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