Portfolio selection with imperfect information: A hidden Markov model

DOI10.1002/asmb.885zbMath1276.91091OpenAlexW2061506349MaRDI QIDQ2863717

Ethem Çanakoğlu, Süleyman Özekici

Publication date: 3 December 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.885

zbMATH Keywords

dynamic programminghidden Markov chainportfolio optimizationsufficient statistics

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Related Items

Resource allocation with stochastic optimal control approach ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated ⋮ Continuous-time mean-variance asset-liability management with hidden Markovian regime switching ⋮ Optimal investment management for a defined contribution pension fund under imperfect information

Cites Work

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• The Optimal Control of Partially Observable Markov Processes over a Finite Horizon
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• Improved Algorithms for Inventory and Replacement-Stocking Problems
• Portfolio optimization with unobservable Markov-modulated drift process

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