Portfolio optimization for a large investor under partial information and price impact

DOI10.1007/S00186-017-0589-XzbMath1386.49025OpenAlexW2613233453MaRDI QIDQ684140

Hyejin Ku, Zehra Eksi

Publication date: 9 February 2018

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-017-0589-x

zbMATH Keywords

stochastic controlfilteringportfolio optimizationpartial informationprice impactlarge investorMarkov-modulation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Option pricing for a large trader with price impact and liquidity costs ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Nash equilibria for relative investors with (non)linear price impact ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information

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