PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
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Publication:5389106
DOI10.1142/S0219024911006486zbMath1236.91126OpenAlexW2138332759MaRDI QIDQ5389106
Abdelali Gabih, Ralf Wunderlich, Rüdiger Frey
Publication date: 24 April 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006486
Related Items (21)
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT ⋮ Exact and approximate hidden Markov chain filters based on discrete observations ⋮ Dividend maximization in a hidden Markov switching model ⋮ Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Optimal portfolio and certainty equivalence estimator for the appreciation rate ⋮ Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ EMA-type trading strategies maximize utility under partial information ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ The value of knowing the market price of risk ⋮ Optimal convergence trading with unobservable pricing errors ⋮ Portfolio optimization for a large investor under partial information and price impact ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift ⋮ OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift ⋮ Optimal investment and consumption under partial information
Cites Work
- Optimal investment under partial information
- Comparison and robustification of Bayes and Black-Litterman models
- Measure change estimates for hidden Markov models
- Optimal trading strategy for an investor: the case of partial information
- Optimal investment with inside information and parameter uncertainty
- Controlled Markov processes and viscosity solutions
- Portfolio selection under incomplete information
- An ε-Optimal Portfolio with Stochastic Volatility
- Optimal portfolio policies under bounded expected loss and partial information
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