%0 Journal Article
%T Maximizing the expected utility from terminal wealth under the case of partial information<br>部分信息下极大化终止时刻期望效用
%A YANG Zhao-jun
%A <br>杨招军
%J 控制理论与应用
%D 2005
%I 
%X The problem of maximizing the expected utility from terminal wealth under the case of partial information is addressed.By utilizing stochastic dynamic programming,It's formula,nonlinear filtering and martingale duality methods,the paper has found a new approach to solve such problem for general utility.Finally,the paper obtains solutions to the utility functions of hyperbolic absolute risk aversion Arrow-Pratt coefficients(HARA).
%K investment in risk asset
%K stochastic optimal control
%K nonlinear filtering
%K martingale and duality
%K HARA Utility<br>风险投资
%K 随机最优控制
%K 非线性滤波
%K 鞅与对偶方法
%K HARA效用函数
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=1A3928CB04F5AE55&yid=2DD7160C83D0ACED&vid=BC12EA701C895178&iid=94C357A881DFC066&sid=C3BC38F6CC09E835&eid=AB720B703F452703&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=0&reference_num=8