Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
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Publication:1776020
DOI10.1007/s00780-004-0132-9zbMath1063.91040OpenAlexW2059402723MaRDI QIDQ1776020
Ulrich G. Haussmann, Jörn Sass
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0132-9
portfolio optimizationpartial informationstochastic interest ratescontinuous time Markov chainHMM filtering
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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