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Expected log-utility maximization under incomplete information and with Cox-process observations

Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66

Persistent link: https://www.econbiz.de/10010358462

Portfolio optimization in a defaultable market under incomplete information

Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, … - In: Decisions in Economics and Finance 35 (2012) 2, pp. 91-111

We consider the problem of maximization of expected utility from terminal wealth in a market model that is driven by a possibly not fully observable factor process and that takes explicitly into account the possibility of default for the individual assets as well as contagion (direct and...

Persistent link: https://www.econbiz.de/10010845571

A Benchmark Approach to Portfolio Optimization under Partial Information

Platen, Eckhard; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 14 (2007) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10005727017

Portfolio Optimization in Discontinuous Markets under Incomplete Information

Callegaro, Giorgia; Masi, Giovanni; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 373-394

Persistent link: https://www.econbiz.de/10005727084

On the separation of estimation and control in risk-sensitive investment problems under incomplete observation

Lleo, Sébastien; Runggaldier, Wolfgang J. - In: European journal of operational research : EJOR 316 (2024) 1, pp. 200-214

Persistent link: https://www.econbiz.de/10014573970