Portfolio optimization with non-constant volatility and partial information

MaRDI QIDQ367562zbMATH OpenFDO

Authors Markus Hahn, Wolfgang Putschögl, Jörn Sass

Publication date 16 September 2013

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte CarloMalliavin calculusstochastic volatilityutility maximizationhidden Markov model filtering

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Financial applications of other theories (91G80)

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