Portfolio optimization for a large investor under partial information and price impact
DOI10.1007/S00186-017-0589-XzbMATH Open1386.49025OpenAlexW2613233453MaRDI QIDQ684140FDOQ684140
Authors: Zehra Eksi, Hyejin Ku 
Publication date: 9 February 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0589-x
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filteringpartial informationportfolio optimizationprice impactstochastic controllarge investorMarkov-modulation
Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (11)
- Market Influence of Portfolio Optimizers
- Option pricing for a large trader with price impact and liquidity costs
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Nash equilibria for relative investors with (non)linear price impact
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Quantifying the impact of partial information on Sharpe ratio optimization
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Optimal reduction of public debt under partial observation of the economic growth
- Effective approximation methods for constrained utility maximization with drift uncertainty
- The impact on market outcomes of the portfolio selection of large equity investors
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