Perturbation analysis for investment portfolios under partial information with expert opinions
DOI10.1137/15M1006854zbMATH Open1414.91337OpenAlexW3125584415MaRDI QIDQ5346507FDOQ5346507
Authors: Jean-Pierre Fouque, Andrew Papanicolaou, Ronnie Sircar 
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1006854
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controlfilteringHamilton-Jacobi-Bellman equationpartial informationportfolio optimizationexpert opinions
Filtering in stochastic control theory (93E11) Dynamic programming (90C39) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93) Time-scale analysis and singular perturbations in control/observation systems (93C70)
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Cited In (15)
- Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
- Parameter identification for portfolio optimization with a slow stochastic factor
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Backward SDEs for control with partial information
- Portfolio optimization under partial information with expert opinions
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Risk‐sensitive benchmarked asset management with expert forecasts
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- The value of knowing the market price of risk
- Optimal retirement under partial information
- Effective approximation methods for constrained utility maximization with drift uncertainty
- Mean-variance portfolio selection for partially observed point processes
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
- Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
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