Portfolio optimization with unobservable Markov-modulated drift process

DOI10.1239/jap/1118777176zbMath1138.93428MaRDI QIDQ5697589

Publication date: 18 October 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1118777176

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; stochastic ordering; optimal investment strategy; Bayesian control; Markov-modulated drift; ortfolio optimization

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

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