Portfolio optimization with non-constant volatility and partial information

zbMath1272.91116MaRDI QIDQ367562

Markus Hahn, Wolfgang Putschögl, Jörn Sass

Publication date: 16 September 2013

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityMalliavin calculusMarkov chain Monte Carloutility maximizationhidden Markov model filtering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)

Related Items (5)

Path dependent volatility ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Optimal consumption and investment under partial information ⋮ Optimal investment and consumption under partial information

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