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Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A.; Landén, Camilla - 2010 - Reprinted

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10009487225

Diversified portfolios in continuous time

Björk, Tomas; Näslund, Bertil - 1996

Persistent link: https://www.econbiz.de/10000948262

Diversified portfolios in continuous time

Björk, Tomas - In: European finance review : the official journal of the … 1 (1997) 3, pp. 361-387

Persistent link: https://www.econbiz.de/10001249381

Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A. - In: Mathematical methods of operations research 71 (2010) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10003958366

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592

Persistent link: https://www.econbiz.de/10010396002

On time-inconsistent stochastic control in continuous time

Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360

Persistent link: https://www.econbiz.de/10011944378