Portfolio optimization with unobservable Markov-modulated drift process
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Publication:5697589
DOI10.1239/jap/1118777176zbMath1138.93428OpenAlexW2015692920MaRDI 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
Hamilton-Jacobi-Bellman equationstochastic orderingoptimal investment strategyBayesian controlMarkov-modulated driftortfolio optimization
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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