Optimal portfolio choice for unobservable and regime-switching mean returns
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Publication:951435
DOI10.1016/S0165-1889(02)00106-9zbMATH Open1179.91233MaRDI QIDQ951435FDOQ951435
Authors: Toshiki Honda 
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
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regime switchingincomplete informationstochastic flowsdegenerate partial differential equationoptimal consumption and portfolio
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- Optimal investment in ambiguous financial markets with learning
- A finite-horizon optimal investment and consumption problem using regime-switching models
- Optimal investment and consumption under partial information
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Duality in optimal consumption-investment problems with alternative data
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- Portfolio selection with regime-switching and state-dependent preferences
- Incomplete information equilibria: separation theorems and other myths
- The effect of exit strategy on optimal portfolio selection with birandom returns
- Portfolio optimization in a semi-Markov modulated market
- Regime switching volatility calibration by the Baum-Welch method
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- Optimal trading strategy for an investor: the case of partial information
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Asset allocation under multivariate regime switching
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Regime switching term structure model under partial information
- A mathematical analysis of technical analysis
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- Optimal harvesting policy of an inland fishery resource under incomplete information
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Partial information about contagion risk, self-exciting processes and portfolio optimization
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