Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions

DOI10.1137/15M1006854zbMath1414.91337OpenAlexW3125584415MaRDI QIDQ5346507

Jean-Pierre Fouque, Andrew Papanicolaou, Ronnie Sircar

Publication date: 24 May 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1006854

zbMATH Keywords

controlHamilton-Jacobi-Bellman equationfilteringportfolio optimizationpartial informationexpert opinions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Time-scale analysis and singular perturbations in control/observation systems (93C70) Dynamic programming (90C39) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)

Related Items (13)

EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Risk‐sensitive benchmarked asset management with expert forecasts ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ The value of knowing the market price of risk ⋮ Backward SDEs for control with partial information ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ Parameter identification for portfolio optimization with a slow stochastic factor ⋮ Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games ⋮ Optimal Retirement Under Partial Information

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