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Dokumenttyp:
Diplomarbeit 
Autor(en):
Hanke, Christian 
Titel:
Portfolio Optimization under Partial Information 
Abstract:
According to Pham and Quenez [2001] we solve the optimization problem in an incomplete financial market with stochastic volatility under the realistic case of partial information, where the investor observes the asset price only. We obtain a formula of the expected terminal wealth for general utility functions by using the Martingale Duality Approach. Moreover, we give a proof of the existence of an optimal portfolio process for power utility functions according to Larsen [2009]. Assuming the ma...    »
 
Gutachter:
Prof. Dr. Alexander Schied 
Jahr:
2009 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text