PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION

DOI10.1142/S0219024917500169zbMath1360.91131arXiv1510.03596MaRDI QIDQ2976133

Grégoire Loeper, Sofiene El Aoud, Ahmed Bel Hadj Ayed, Frederic Abergel

Publication date: 13 April 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03596

zbMATH Keywords

stochastic calculusSharpe ratiopartial observationoptimal trading strategy

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items (1)

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Uses Software

• itsmr

Cites Work

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• Optimal investment under partial information
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Optimal trading strategy for an investor: the case of partial information
• Portfolio selection under incomplete information
• Introduction to Time Series and Forecasting
• Forecasting trends with asset prices
• Portfolio optimization with unobservable Markov-modulated drift process

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