YANG Zhaojun, LI Zhizhong, ZOU Jiezhong. An Explicit Solution to Optimal Investment and Consumption with Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(4): 390-398.
Citation:
YANG Zhaojun, LI Zhizhong, ZOU Jiezhong. An Explicit Solution to Optimal Investment and Consumption with Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(4): 390-398.
YANG Zhaojun, LI Zhizhong, ZOU Jiezhong. An Explicit Solution to Optimal Investment and Consumption with Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(4): 390-398.
Citation:
YANG Zhaojun, LI Zhizhong, ZOU Jiezhong. An Explicit Solution to Optimal Investment and Consumption with Partial Information[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(4): 390-398.
An Explicit Solution to Optimal Investment and Consumption with Partial Information
In the present paper we address the optimization problem of an investor who wants to maximize the expected total utility from consumption. In the general situation we establish an explicit solution to the optimal investment and consumption determined by the security prices.