Abstract:
We consider the problem of expected power utility maximization from terminal wealth in
diffusion market models under partial information. Explicit expressions for the valueprocess
and for the optimal strategy are obtained for some interesting special cases. In particular,
a closed form solution is given in terms of a PDE with terminal condition for Markovian
models. An illustration of the optimal strategy is provided by means of some numerical
simulations.
Keywords:
Backward stochastic differential equation; power utility maximization problem;
basis risk model; stochastic correlation
MSC:
60
