A benchmark approach to portfolio optimization under partial information

DOI10.1007/S10690-007-9045-XMaRDI QIDQ2471734zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, Wolfgang J. Runggaldier

Publication date 18 February 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/5452

zbMATH Keywords

FilteringPortfolio optimizationPartial informationExpected utility maximizationGrowth optimal portfolioReal world pricing formulaUtility indifference pricing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)

Recommendations

• Mean‐Variance Portfolio Selection under Partial Information
• Optimal portfolio policies under bounded expected loss and partial information
• scientific article; zbMATH DE number 5919882
• A benchmark approach to filtering in finance
• Optimal investment under partial information

Cites work

• scientific article; zbMATH DE number 1642354 (Why is no real title available?)
• scientific article; zbMATH DE number 2133125 (Why is no real title available?)
• scientific article; zbMATH DE number 1222793 (Why is no real title available?)
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• A benchmark approach to filtering in finance
• A benchmark approach to quantitative finance
• A filtered no arbitrage model for term structures from noisy data
• Bayesian adaptive portfolio optimization
• Bond pricing in a hidden Markov model of the short rate
• Diversified portfolios with jumps in a benchmark framework
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Filtering and parameter estimation for a mean reverting interest rate model
• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
• Optimal portfolio in partially observed stochastic volatility models.
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
• Risk Aversion in the Small and in the Large
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• The pricing of options and corporate liabilities
• Utility maximization with partial information

Cited in

(29)

• Diffusion-based models for financial markets without martingale measures
• On European option pricing under partial information.
• Pricing of claims in discrete time with partial information
• Numerical simulations of a portfolio selection model with information cost
• Portfolio management with benchmark related incentives under mean reverting processes
• Optimal portfolio, partial information and Malliavin calculus
• Optimal portfolio policies under bounded expected loss and partial information
• Portfolio optimization in a default model under full/partial information
• On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
• Portfolio optimization and contingent claim pricing with differential information
• Generalization bounds for regularized portfolio selection with market side information
• Optimal portfolio for multi-type asset models using filtered various information
• Portfolio optimization for a large investor controlling market sentiment under partial information
• Portfolio optimization with different information flow
• OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND
• Perturbation analysis for investment portfolios under partial information with expert opinions
• Portfolio optimization under partial information with expert opinions
• Risk‐sensitive benchmarked asset management with expert forecasts
• Portfolio optimization for a large investor under partial information and price impact
• Mean-variance portfolio selection for partially observed point processes
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• Optimal consumption and investment strategies with partial and private information in a multi-asset setting
• A one-factor conditionally linear commodity pricing model under partial information
• Expected log-utility maximization under incomplete information and with Cox-process observations
• scientific article; zbMATH DE number 5919882 (Why is no real title available?)
• Filtering and portfolio optimization with stochastic unobserved drift in asset returns
• Mean‐Variance Portfolio Selection under Partial Information
• Optimal portfolio choice with ESG considerations and asymmetric information
• Dimension reduction in discrete time portfolio optimization with partial information

This page was built for publication: A benchmark approach to portfolio optimization under partial information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2471734)