Optimal investment strategy under saving/borrowing rates spread with partial information
- Xiong, Jie
- Yang, Zhaojun
2010 Mathematics Subject Classification
- Investment, stochastic optimal control, nonlinear filtering, optimal strategy, utility function, explicit solution
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.