  This paper extends the utility maximization literature by combining partial
information and (robust) regulatory constraints. Partial information is
characterized by the fact that the stock price itself is observable by the
optimizing financial institution, but the outcome of the market price of the
risk $\theta$ is unknown to the institution. The regulator develops either a
congruent or distinct perception of the market price of risk in comparison to
the financial institution when imposing the Value-at-Risk (VaR) constraint. We
also discuss a robust VaR constraint in which the regulator uses a worst-case
measure. The solution to our optimization problem takes the same form as in the
full information case: optimal wealth can be expressed as a decreasing function
of state price density. The optimal wealth is equal to the minimum regulatory
financing requirement in the intermediate economic states. The key distinction
lies in the fact that the price density in the final state depends on the
overall evolution of the estimated market price of risk, denoted as
$\hat{\theta}(s)$ or that the upper boundary of the intermediate region
exhibits stochastic behavior.
