Portfolio management in a stochastic factor model under the existence of private information

DOI10.1093/IMAMAN/DPX012OpenAlexW2904772317MaRDI QIDQ5234117

Ioannis D. Baltas, Athanasios N. Yannacopoulos

Publication date: 25 September 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6624cf79126a3ff611d41e2f0eb089b4b4ccd219

zbMATH Keywords

Hamilton-Jacobi-Bellman equationportfolio managementinitial enlargement of filtrationsEuler-Maruyama schemestochastic factor model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (6)

Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Equilibrium investment-reinsurance strategy under information asymmetry and random horizon ⋮ Pricing and hedging in incomplete markets with model uncertainty

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