Portfolio optimization in discontinuous markets under incomplete information

DOI10.1007/s10690-007-9050-0zbMath1124.93068OpenAlexW2088189605MaRDI QIDQ2461283

Giorgia Callegaro, Wolfgang J. Runggaldier, Giovanni B. Di Masi

Publication date: 27 November 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9050-0

zbMATH Keywords

stochastic controlportfolio optimizationincomplete informationdiscontinuous markets

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (13)

A Bayesian approach for optimal reinsurance and investment in a diffusion model ⋮ Optimal investment in markets with over and under-reaction to information ⋮ Optimal investment and consumption strategies for pooled annuity with partial information ⋮ PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ On optimal investment in a reinsurance context with a point process market model ⋮ Partial information about contagion risk, self-exciting processes and portfolio optimization ⋮ On optimal proportional reinsurance and investment in a hidden Markov financial market ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ Optimal investment under partial information ⋮ LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS ⋮ An optimal consumption and investment problem with partial information ⋮ Optimal investment and consumption under partial information

Cites Work

• Point processes and queues. Martingale dynamics
• Optimal investment in incomplete markets when wealth may become negative.
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Portfolio optimization in discontinuous markets under incomplete information