The optimal log-utility asset management under incomplete information

Asia-Pacific Financial Markets

Volumn 7, Issue 2, 2000, Pages 145-154

  Ishijima, Hiroshi ^a   Shirakawa, Hiroshi ^b  

^a KEIO UNIVERSITY   (Japan)

^b TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Asset management; Bayesian formula; Incomplete information; Log utility; SPOP

Indexed keywords

EID: 33845211272     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010069730429     Document Type: Article

References (28)

1. Bellman, R. and Kalaba, R. (1957) On the role of dynamic programming in statistical communication theory, IRE Trans. Professional Group on Information Theory IT-3:3, 197-203.
2. Cover, T. M. (1984) An algorithm for maximizing expected log investment return, IEEE Trans. Inform. Theory IT-30, 369-373.
3. Cover, T. M. and Thomas, J. A. (1990) Elements of Information Theory, John Wiley & Sons.
4. Cover, T. M. (1991) Universal portfolios, Math. Finance 1, 1-29.
5. Cover, T. M. and Ordentlich, E. (1996) Universal portfolios with side information, IEEE Trans. Inform. Theory IT-42, 348-363.
6. Cvitanić, J. and Karatzas, I. (1992) Convex duality in constrained portfolio optimization, Ann. Appl. Prob. 2(4), 767-818.
7. Detemple, J. B. (1986) Asset pricing in a production economy with incomplete information, J. Finance 41 (2), 383-392.
8. Detemple, J. B. (1991) Further results on asset pricing with incomplete information, J. Econom. Dynam. Control 15 (3), 425-453.
9. Dothan, M. U. and Feldman, D. (1986) Equilibrium interest rates and multiperiod bonds in a partially observable economy, J. Finance 41 (2), 369-382.
10. Feldman, D. (1992) Logarithmic preferences, myopic decisions, and incomplete information, J. Financ. Quantitat. Anal. 27(4), 619-630.
11. Gennotte, G. (1986) Optimal portfolio choice under incomplete information, J. Finance 41 (3), 733-746.
12. Grauer, R. R. and Hakansson, N. H. (1982) Higher return, lower risk: Historical returns on long-run, actively managed portfolios of stocks, bonds, and bills, 1936-1978, Financ. Anal. J. 38 (Mar-Apr), 39-53.
13. Grauer, R. R. and Hakansson, N. H. (1985) Returns on levered, actively managed long-run portfolios of stocks, bonds, and bills, 1934-1984, Financ. Anal. J. 41 (Sep-Oct), 24-43.
14. Grauer, R. R. and Hakansson, N. H. (1986) A half century of returns on levered and unlevered portfolios of stocks, bonds, and bills, with and without small stocks, J. Busin. 59, 287-318.
15. Grauer, R. R. and Hakansson, N. H. (1987) Gains from international diversification: 1968-85 returns on portfolios of stocks and bonds, J. Finance 42, 721-739.
16. Jamshidian, F. (1992) Asymptotically optimal portfolios, Math. Finance 2, 131-150.
17. Karatzas, I., Lehoczky, J. P., and Shreve, S. E. (1987) Optimal portfolio and consumption decisions for a 'small investor' on a finite horizon, SIAM J. Control Optim. 25 (6), 1557-1586.
18. Karatzas, I. and Xue, X. (1991) A note on utility maximization under partial observations, Math. Finance 1 (2), 57-70.
19. Karatzas, I. and Zhao, X. (1998) Bayesian adaptive portfolio optimization, preprint.
20. Karush, W. (1939) Minima of functions of several variables with inequalities as side constraints, MSc dissertation, Department of Mathematics, University of Chicago.
21. Kuhn, H. W. and Tucker, A. W. (1950) Nonlinear programming. In N. C. Metropolis (ed.), Proc. Second Berkeley Symp. Mathematical Statistics and Probability, University of California Press.
22. Kuwana, Y. (1995) Certainty equivalence and logarithmic utilities in consumption/investment problems, Math. Finance 5 (4), 297-309.
23. Lakner, P. (1995) Utility maximization with partial information, Stoch. Proces. Appl. 56, 247-273.
24. Lakner, P. (1998) Optimal trading strategy for an investor: the case of partial information, Stoch. Proces. Appl. 76, 77-97.
25. Liptser, R. S. and Shiryayev, A. N. (1978) Statistics of Random Processes II: Applications, Springer-Verlag.
26. Luenberger, D. G. (1984) Linear and Nonlinear Programming, 2nd edn, Addison-Wesley Publ.
27. Mossin, J. (1968) Optimal multiperiod portfolio policies, J. Busin. 41, 215-229.
28. Shirakawa, H. and Ishijima, H. (1997) Stochastic analysis of continuous time universal portfolio, Working Paper, Tokyo Institute of Technology.