Theoretical analysis reveals explicit optimal consumption and investment strategies under partial information, demonstrating exact solutions within conditionally log-Gaussian complete markets.
Certain Merton type consumption−investment problems under partial information are reduced to the ones of full information and within the framework of a complete market model. Then, specializing to conditionally log−Gaussian diffusion models, concrete analysis about the optimal values and optimal strategies is performed by using analytical tools like Feynman−Kac formula, or HJB equations. The explicit solutions to the related forward-backward equations are also given.
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Hideo Nagai (2023) studied this question.
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