Perturbation analysis for investment portfolios under partial information with expert opinions
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Cites work
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 2053281 (Why is no real title available?)
- scientific article; zbMATH DE number 2110605 (Why is no real title available?)
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- From Markovian to partially observable models
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- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Optimal investment
- Optimal investment under partial information
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Portfolio optimization and stochastic volatility asymptotics
- Portfolio optimization under partial information with expert opinions
- Portfolio optimization with unobservable Markov-modulated drift process
- Portfolio selection under incomplete information
- The Relaxed Investor with Partial Information
- The Role of Learning in Dynamic Portfolio Decisions *
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Time-inconsistent portfolio investment problems
- Volatility misspecification, option pricing and superreplication via coupling
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
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Portfolio optimization under partial information with expert opinions
- 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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