Asymptotics of utility from terminal wealth for partially observed portfolios
Volume 39 / 2012
Applicationes Mathematicae 39 (2012), 445-461
MSC: Primary 93E20; Secondary 91B16.
DOI: 10.4064/am39-4-4
Abstract
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.
