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

hidden Markov model filteringMalliavin calculusMarkov chain Monte Carlostochastic volatilityutility maximization

Mathematics Subject Classification ID

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

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