Optimal investment in markets with over and under-reaction to information

DOI10.1007/s11579-016-0182-8zbMath1415.91256OpenAlexW3125972186MaRDI QIDQ1679555

Carlo Sgarra, Giorgia Callegaro, Simone Scotti, M'hamed Gaigi

Publication date: 9 November 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-016-0182-8

zbMATH Keywords

nonlinear filteringportfolio optimizationjump-diffusion modelsenlargement of filtrationsover and under-reaction

Mathematics Subject Classification ID

Related Items (7)

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ Clustering Effects via Hawkes Processes ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ Unnamed Item ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information

Uses Software

• robustbase

Cites Work

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