Extremal Behavior of Long-Term Investors with Power Utility
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- Tomas Björk & Mark Davis & Camilla Landén, 2010.
"Optimal investment under partial information,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
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Cited by:
- Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
- Bäuerle, Nicole & Mahayni, Antje, 2024. "Optimal investment in ambiguous financial markets with learning," European Journal of Operational Research, Elsevier, vol. 315(1), pages 393-410.
- Nicole Bauerle & Antje Mahayni, 2023. "Optimal investment in ambiguous financial markets with learning," Papers 2303.08521, arXiv.org, revised Feb 2024.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2017-03-19 (Utility Models and Prospect Theory)
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