A benchmark approach to portfolio optimization under partial information
DOI10.1007/S10690-007-9045-XzbMATH Open1151.91451OpenAlexW2114785521MaRDI QIDQ2471734FDOQ2471734
Authors: Eckhard Platen, Wolfgang J. Runggaldier 
Publication date: 18 February 2008
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/5452
Recommendations
FilteringPortfolio optimizationPartial informationExpected utility maximizationGrowth optimal portfolioReal world pricing formulaUtility indifference pricing
Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)
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Cited In (27)
- Diffusion-based models for financial markets without martingale measures
- On European option pricing under partial information.
- Numerical simulations of a portfolio selection model with information cost
- Pricing of claims in discrete time with partial information
- Portfolio management with benchmark related incentives under mean reverting processes
- Optimal portfolio policies under bounded expected loss and partial information
- Optimal portfolio, partial information and Malliavin calculus
- On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
- Portfolio optimization in a default model under full/partial information
- Generalization bounds for regularized portfolio selection with market side information
- Optimal portfolio for multi-type asset models using filtered various information
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Portfolio optimization with different information flow
- Perturbation analysis for investment portfolios under partial information with expert opinions
- OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND
- Portfolio optimization under partial information with expert opinions
- Risk‐sensitive benchmarked asset management with expert forecasts
- Portfolio optimization for a large investor under partial information and price impact
- Mean-variance portfolio selection for partially observed point processes
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- A one-factor conditionally linear commodity pricing model under partial information
- Expected log-utility maximization under incomplete information and with Cox-process observations
- Title not available (Why is that?)
- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
- Mean‐Variance Portfolio Selection under Partial Information
- Dimension reduction in discrete time portfolio optimization with partial information
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