The Relaxed Investor with Partial Information
DOI10.1137/100813646zbMATH Open1255.91387OpenAlexW1995045762MaRDI QIDQ4902215FDOQ4902215
Authors: Nicole Bäuerle, Sebastian P. Urban, 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
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- Optimal trading strategy for an investor: the case of partial information
- Partially informed investors: hedging in an incomplete market with default
partial informationoptimal investmentBayesian approachMarkov decision problemdiscrete versus continuous tradingdiscretization gap
Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
Cited In (7)
- Optimal diversification in the presence of parameter uncertainty for a risk averse investor
- Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers
- 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
- Complete markets do not allow free cash flow streams
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