Portfolio optimization under partial information with expert opinions: a dynamic programming approach
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach*
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem in...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2014
ISSN: 0973-9599
DOI: 10.31390/cosa.8.1.04