Filtering and portfolio optimization with stochastic unobserved drift in asset returns
DOI10.4310/CMS.2015.V13.N4.A5zbMATH Open1321.91109OpenAlexW3124909925MaRDI QIDQ2348484FDOQ2348484
Authors: Jean-Pierre Fouque, Andrew Papanicolaou, Ronnie Sircar 
Publication date: 12 June 2015
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2015.v13.n4.a5
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Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10) Asymptotic expansions of solutions to PDEs (35C20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- EMA-type trading strategies maximize utility under partial information
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
- Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
- Stochastic switching for partially observable dynamics and optimal asset allocation
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