Dimension reduction in discrete time portfolio optimization with partial information

DOI10.1137/120897596MaRDI QIDQ2873154zbMATH OpenOpenAlexFDO

Authors Andrew Papanicolaou

Publication date 23 January 2014

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/120897596

zbMATH Keywords

approximate dynamic programmingdimension reductionfast mean reversionfilteringpartial informationportfolio optimization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) System structure simplification (93B11) Time-scale analysis and singular perturbations in control/observation systems (93C70) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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(2)

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