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Portfolio selection under incomplete information

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  • Brendle, Simon

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.

Suggested Citation

  • Brendle, Simon, 2006. "Portfolio selection under incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 701-723, May.
    • Handle: RePEc:eee:spapps:v:116:y:2006:i:5:p:701-723
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    References listed on IDEAS

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