Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information

DOI10.1137/120897596zbMath1278.93292OpenAlexW3121284615MaRDI QIDQ2873154

Andrew Papanicolaou

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120897596

zbMATH Keywords

dimension reductionfilteringportfolio optimizationpartial informationapproximate dynamic programmingfast mean reversion

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Time-scale analysis and singular perturbations in control/observation systems (93C70) System structure simplification (93B11) Optimal stochastic control (93E20) Portfolio theory (91G10)

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