The Relaxed Investor with Partial Information
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Publication:4902215
DOI10.1137/100813646zbMath1255.91387OpenAlexW1995045762MaRDI QIDQ4902215
Sebastian P. Urban, Nicole Bäuerle, Luitgard A. M. Veraart
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032855/3270699
partial informationoptimal investmentBayesian approachMarkov decision problemdiscrete versus continuous tradingdiscretization gap
Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)
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Approximation for portfolio optimization in a financial market with shot-noise jumps ⋮ Exact and approximate hidden Markov chain filters based on discrete observations ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading ⋮ Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers ⋮ Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor ⋮ Complete markets do not allow free cash flow streams
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