Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
DOI10.3934/jimo.2016002zbMath1362.93168OpenAlexW2315773907MaRDI QIDQ2358467
Publication date: 15 June 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016002
hidden Markov chainstochastic maximum principlefilteringmodel uncertaintyinnovations approachconsumption-portfolio optimization
Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
Related Items (5)
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