Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Mathematical finance
5 (1995), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
We investigate an optimal consumption/investment decision problem with partially observable drift. Logarithmic utilities are shown to be necessary and sufficient for the certainty equivalence principle to hold. For the sufficiency part of the proof, we allow a general stochastic structure about the unobservable drift. On the other hand, a simple Bayesian structure is assumed for the necessity part in order to utilize the Hamilton-Jacobi-Bellman equations.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.1995.tb00069.x
Permalink
|
Location |
Call Number |
Expected |
Availability |