Merton's optimal investment problem with jump signals

DOI10.1137/21M1450161MaRDI QIDQ5045202zbMATH OpenFDO

Authors Peter Bank, Laura Körber

Publication date 4 November 2022

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

Full work available at URL https://arxiv.org/abs/2109.13787

zbMATH Keywords

jump signalMeyer \(\sigma\)-fieldoptimal investmentstochastic integration for nonpredictable integrands

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Optimal investment problems with marked point processes
• The value of insight
• scientific article; zbMATH DE number 5055325
• Optimal Investment-consumption for Partially Observed Jump-diffusions
• Stability of Merton's portfolio optimization problem for Lévy models

Cites work

• Additional logarithmic utility of an insider
• Anticipative portfolio optimization
• Applied stochastic control of jump diffusions
• Continuous Auctions and Insider Trading
• scientific article; zbMATH DE number 3665911 (Why is no real title available?)
• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(5)

• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
• Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
• Merton's optimal investment problem with jump signals
• Brokers and informed traders: dealing with toxic flow and extracting trading signals
• Optimal execution and speculation with trade signals

This page was built for publication: Merton's optimal investment problem with jump signals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5045202)