Camilla Landén (KTH): Optimal Investment under Partial Information
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 particular, the return processes cannot be observed directly.
This leads to an optimal control problem under partial information and for the cases of
power, log, and exponential utility we manage to provide a surprisingly explicit representation
of the optimal terminal wealth as well as of the optimal portfolio strategy. This is done without any
assumptions about the dynamical structure of the return processes. We also show how various explicit results
in the existing literature are derived as special cases of the general theory.
Tillbaka till huvudsidan.