Optimal portfolio choice for unobservable and regime-switching mean returns

Journal of Economic Dynamics and Control

Volumn 28, Issue 1, 2003, Pages 45-78

  Honda, Toshiki ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Degenerate partial differential equation; Incomplete information; Optimal consumption and portfolio; Regime switching; Stochastic flows

Indexed keywords

EID: 0038648769     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00106-9     Document Type: Article

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