Portfolio selection under incomplete information |
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Authors: | Simon Brendle |
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Institution: | Stanford University, Stanford, CA 94305, United States |
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Abstract: | We study an optimal investment problem under incomplete information and power utility. We analytically solve the Bellman equation, and identify the optimal portfolio policy. Moreover, we compare the solution to the value function in the fully observable case, and quantify the loss of utility due to incomplete information. |
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