Portfolio Optimization in Discontinuous Markets under Incomplete Information

@inproceedings{Callegaro2007PortfolioOI,
  title={Portfolio Optimization in Discontinuous Markets under Incomplete Information},
  author={Giorgia Callegaro and Giovanni B. Di Masi and Wolfgang J. Runggaldier},
  year={2007}
}
We consider the problem of maximization of expected utility from terminal wealth for log and power utility functions in a market model that leads to purely discontinuous processes. We study this problem as a stochastic control problem both under complete as well as incomplete information. Our contribution consists in showing that the optimal strategy can be obtained by solving a system of equations that in some cases is linear and that a certainty equivalence property holds not only for log… CONTINUE READING

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