Bayesian adaptive portfolio optimization
The problem of portfolio optimization in stochastic control and mathematical finance has been dealt in this paper. The authors adopt a Bayesian approach for the utility maximization, by assuming that the unknown `drift' is an unobservable random variable, independent of the driving Brownian motion and with knovm probability distribution.NEWLINENEWLINENEWLINEUsing results from the filtering theory the optimization problem with partial observations to the case of a drift process which is adapted to observation process and well developed martingale methods are applied to obtain explicit formulae for the optimal portfolio process, the optimal wealth process and the value functions of the stochastic control problem. This is then treated buy using stochastic control and dynamic programming, which leads to generalized parabolic Monge-Ampère type equations. NEWLINENEWLINENEWLINEThese equations have been solved explicitly by using the results of sections 2 and 3. The problem of optimization is for an `insider' investor who can observe both the drift vector and the driving Brownian motion. It has been shown that the relative cost is asymptotically negligible as \(T\to\infty\). The optimal strategies and value functions under convex constraints on portfolio-proportion, including the constraints such as incomplete markets, prohibition or constraints on the short-selling of stocks, prohibition are constraints on borrowing.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
- A general approach to Bayesian portfolio optimization
- Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
- Portfolio optimisation using constrained hierarchical bayes models
- Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
- Bayesian learning for the Markowitz portfolio selection problem
- Portfolio selection based on Bayesian theory
- Probabilistic optimization with application to portofolio selection
- Portfolio choice and the Bayesian Kelly criterion
- On a problem of optimal stochastic control with incomplete information
- A bounded risk strategy for a market with non-observable parameters.
- Maximizing the probability of a perfect hedge
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Optimal portfolio in partially observed stochastic volatility models.
- Conservative delta hedging.
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Bayesian filtering for multi-period mean-variance portfolio selection
- Optimal retirement planning under partial information
- Bayesian inference of the multi-period optimal portfolio for an exponential utility
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- On Bayesian value at risk: from linear to non-linear portfolios
- A benchmark approach to portfolio optimization under partial information
- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
- Portfolio selection under incomplete information
- Linear filtering of systems with memory and application to finance
- Power utility maximization under partial information: some convergence results
- Optimal portfolio and certainty equivalence estimator for the appreciation rate
- Optimal investment and consumption strategies for pooled annuity with partial information
- A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization.
- Learning and portfolio decisions for CRRA investors
- Dividend maximization in a hidden Markov switching model
- Performance analysis of the optimal strategy under partial information
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Portfolio choice and the Bayesian Kelly criterion
- Trading against disorderly liquidation of a large position under asymmetric information and market impact
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- Challenging the robustness of optimal portfolio investment with moving average-based strategies
- BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- An empirical bayes adaptive price search∗
- Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Bayesian learning for the Markowitz portfolio selection problem
- American options and incomplete information
- Extremal behavior of long-term investors with power utility
- A closed form solution for optimal dynamic portfolio problems
- Portfolio optimization with unobservable Markov-modulated drift process
- Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- EMA-type trading strategies maximize utility under partial information
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Exponential utility maximization under partial information
- Optimal selling of an asset under incomplete information
- Optimal investment in ambiguous financial markets with learning
- Duality in optimal consumption-investment problems with alternative data
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- The asymptotic behavior of optimal portfolio strategies based on general utility with drift rate and volatility following distribution uncertainty
- Optimal adaptive control with separable drift uncertainty
- Terminal wealth maximization under drift uncertainty
- Bayesian adaptive portfolio optimization for DC pension plans
- Robust portfolio game under relative performance and state-dependent confidence sets
- Utility maximization with convex constraints and partial information
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