• Media type: Text; Report; E-Book
  • Title: Optimal investment strategy under saving/borrowing rates spread with partial information
  • Contributor: Xiong, Jie [Author]; Yang, Zhaojun [Author]
  • imprint: Weierstrass Institute for Applied Analysis and Stochastics publication server, 2004
  • Language: English
  • DOI: https://doi.org/10.20347/WIAS.PREPRINT.908
  • Keywords: article ; Investment -- stochastic optimal control -- nonlinear filtering -- optimal strategy -- utility function -- explicit solution
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: We study the optimal investment strategy for maximizing the expected utility of the terminal wealth with partial information. Under the assumption that the borrowing rate is higher than the saving rate and the utility function is $U(x)=\log x$, we develop a new method to solve such problem and derive the explicit solutions that are easy to implement.
  • Access State: Open Access