Dimension reduction in discrete time portfolio optimization with partial information

DOI10.1137/120897596MaRDI QIDQ2873154zbMATH OpenOpenAlexFDO

Authors Andrew Papanicolaou

Publication date 23 January 2014

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/120897596

zbMATH Keywords

dimension reductionfilteringpartial informationportfolio optimizationapproximate dynamic programmingfast mean reversion

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) System structure simplification (93B11) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

Recommendations

• Portfolio optimization under lower partial risk measures
• Portfolio optimization in discontinuous markets under incomplete information
• Computation of optimal portfolios using simulation-based dimension reduction
• Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results
• A benchmark approach to portfolio optimization under partial information
• scientific article; zbMATH DE number 5919882
• Portfolio optimization with non-constant volatility and partial information
• Portfolio optimization under partial information and convex constraints in a hidden Markov model
• Portfolio optimization in a default model under full/partial information
• Mean‐Variance Portfolio Selection under Partial Information

Cited in

(2)

• Perturbation analysis for investment portfolios under partial information with expert opinions
• Backward SDEs for control with partial information

This page was built for publication: Dimension reduction in discrete time portfolio optimization with partial information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2873154)