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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 81, 2009 - Issue 3-4: Stochastic Analysis
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Original Articles

Optimal portfolio, partial information and Malliavin calculus

Giulia Di Nunno Department of Mathematics, Centre of Mathematics for Applications (CMA), University of Oslo, P.O. Box 1053, Blindern, N-0316, Oslo, NorwayCorrespondence[email protected]
&
Bernt Øksendal Department of Mathematics, Centre of Mathematics for Applications (CMA), University of Oslo, P.O. Box 1053, Blindern, N-0316, Oslo, Norway; Norwegian School of Economics and Business Administration, Helleveien 30, N-5045, Bergen, NorwayView further author information
Pages 303-322 | Received 16 Jul 2008, Accepted 08 Feb 2009, Published online: 23 Jul 2009

Citations (13)

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Read on this site (4)

Xingchun Peng & Fenge Chen. (2022) Mean-variance asset-liability management with inside information. Communications in Statistics - Theory and Methods 51:7, pages 2281-2302.
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Jie Xiong, Zuo Quan Xu & Jiayu Zheng. (2021) Mean–variance portfolio selection under partial information with drift uncertainty. Quantitative Finance 21:9, pages 1461-1473.
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Xingchun Peng & Fenge Chen. (2021) Mean-variance asset–liability management with partial information and uncertain time horizon. Optimization 70:7, pages 1609-1636.
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Xingchun Peng, Fenge Chen & Wenyuan Wang. (2018) Optimal investment and risk control for an insurer with partial information in an anticipating environment. Scandinavian Actuarial Journal 2018:10, pages 933-952.
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Articles from other publishers (9)

Yan DolinskyOr Zuk. (2023) Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework. SIAM Journal on Financial Mathematics 14:3, pages SC31-SC41.
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Giulia di Nunno. (2022) On stochastic control for time changed Lévy dynamics. SeMA Journal 79:3, pages 529-547.
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Shihao Zhu & Jingtao Shi. (2022) Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information. Journal of Systems Science and Complexity 35:4, pages 1458-1479.
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Fenge Chen, Bing Li & Xingchun Peng. (2022) Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment. Methodology and Computing in Applied Probability 24:2, pages 635-659.
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Ping-Jin Deng, Xiu-Fang Li & Xiao-Wei Chen. (2020) The Optimal Investment, Liability and Dividends in Insurance. Journal of the Operations Research Society of China 9:2, pages 395-409.
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Peter Bank & Yan Dolinsky. (2021) Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM Journal on Financial Mathematics 12:2, pages SC31-SC43.
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HUGO E. RAMIREZ, PETER DUCK, PAUL V. JOHNSON & SYDNEY HOWELL. (2019) HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT. International Journal of Theoretical and Applied Finance 22:06, pages 1950026.
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Kristoffer Lindensjö. 2018. Stochastic Processes and Applications. Stochastic Processes and Applications 165 172 .
Xingchun Peng & Yijun Hu. (2013) Optimal proportional reinsurance and investment under partial information. Insurance: Mathematics and Economics 53:2, pages 416-428.
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