Geodesic
Asymptotics of utility from terminal wealth for partially observed portfolios
Łukasz Stettner1
1 Institute of Mathematics Polish Academy of Sciences Śniadeckich 8 00-956 Warszawa, Poland and Academy of Finance Warszawa, Poland
Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 445-461 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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We study the asymptotical behaviour of expected utility from terminal wealth on a market in which asset prices depend on economic factors that are unobserved or observed with delay.
DOI : 10.4064/am39-4-4
Keywords: study asymptotical behaviour expected utility terminal wealth market which asset prices depend economic factors unobserved observed delay

Łukasz Stettner 1

1 Institute of Mathematics Polish Academy of Sciences Śniadeckich 8 00-956 Warszawa, Poland and Academy of Finance Warszawa, Poland 
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Łukasz Stettner. Asymptotics of utility from terminal wealth for partially observed portfolios. Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 445-461. doi: 10.4064/am39-4-4

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