WIAS Preprint No. 908, (2004)

Optimal investment strategy under saving/borrowing rates spread with partial information



Authors

  • Xiong, Jie
  • Yang, Zhaojun

2010 Mathematics Subject Classification

  • 90A09

Keywords

  • Investment, stochastic optimal control, nonlinear filtering, optimal strategy, utility function, explicit solution

Abstract

We study the optimal investment strategy for maximizing the expected utility of the terminal wealth with partial information. Under the assumption that the borrowing rate is higher than the saving rate and the utility function is $U(x)=log x$, we develop a new method to solve such problem and derive the explicit solutions that are easy to implement.

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