Recursive Utility Maximization for Terminal Wealth under Partial Information
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-12-14
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper concerns the recursive utility maximization problem for terminal wealth under partial information.
We first transform our problem under partial information into the one under full information.
When the generator of the recursive utility is concave, we adopt the variational formulation of the recursive utility which leads to a stochastic game problem and characterization of the saddle point of the game is obtained.
Then, we study the K-ignorance case and explicit saddle points of several examples are obtained.
At last, when the generator of the recursive utility is smooth, we employ the terminal perturbation method to characterize the optimal terminal wealth.
American Psychological Association (APA)
Ji, Shaolin& Shi, Xiaomin. 2016. Recursive Utility Maximization for Terminal Wealth under Partial Information. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1111933
Modern Language Association (MLA)
Ji, Shaolin& Shi, Xiaomin. Recursive Utility Maximization for Terminal Wealth under Partial Information. Mathematical Problems in Engineering No. 2016 (2016), pp.1-12.
https://search.emarefa.net/detail/BIM-1111933
American Medical Association (AMA)
Ji, Shaolin& Shi, Xiaomin. Recursive Utility Maximization for Terminal Wealth under Partial Information. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-12.
https://search.emarefa.net/detail/BIM-1111933
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1111933