Optimal convergence trading with unobservable pricing errors (Q2241060): Difference between revisions

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+New results on the innovations problem for non-linear filtering
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+PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION
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+Fundamentals of stochastic filtering
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+Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
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+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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+Portfolio optimization with unobservable Markov-modulated drift process
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+Optimal investment under partial information
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+ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS
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+Mean-variance portfolio selection of cointegrated assets
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+EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
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+New finite-dimensional filters and smoothers for noisily observed Markov chains
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+Estimating a regime switching pairs trading model
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+PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
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+Optimal Control for Partially Observed Diffusions
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+PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
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+Stochastic differential equations for the non linear filtering problem
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+Testing for two-regime threshold cointegration in vector error-correction models.
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+Q3774629
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+CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
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+PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
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+Costly arbitrage through pairs trading
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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+Q2897328
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+Dynamic pairs trading using the stochastic control approach
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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