Mean-variance Investment Portfolio Study Under Partial Information with Liability
GUO Ting
LIU Xuanhui
LI Zhaoqi
Abstract：Mean-variance investment portfolio with liability under partial information is considered. By Kalman filter theory and constructing an extended Hamilton-Jacobi-Bellman equations,closed-form expressions of the equilibrium investment strategy and the correspondig equilibrium value function under partial information with liability are derived. When the liability and stock price are related,liability influences the equilibrium investment strategy.
Keywords：Levy processmean-varianceextended HJB equationspartial information
Publication Date：2019-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：6( 1314-1319 )