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A Note On Utility Maximization Under Partial Observations 1
Ioannis Karatzas, Xlng‐Xlong Xue
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Source: Crossref
Published: Apr 1, 1991
DOI: 10.1111/j.1467-9965.1991.tb00009.x
Open original source ↗Source abstract
Using ideas from stochastic filtering theory and a martingale representation result of Jacod, we discuss problems of utility maximization in “dynamically incomplete” financial markets under partial observations.
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