Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model

DOI10.3934/jimo.2016002zbMath1362.93168OpenAlexW2315773907MaRDI QIDQ2358467

Tak Kuen Siu, Yang Shen

Publication date: 15 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016002

zbMATH Keywords

hidden Markov chainstochastic maximum principlefilteringmodel uncertaintyinnovations approachconsumption-portfolio optimization

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (5)

Optimal credit investment and risk control for an insurer with regime-switching ⋮ Optimal investment of variance-swaps in jump-diffusion market with regime-switching ⋮ Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk

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