Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
From MaRDI portal
Publication:6549608
DOI10.1007/s10479-022-05130-3zbMATH Open1537.91297MaRDI QIDQ6549608
Publication date: 4 June 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
filteringbenchmarkjump-diffusion processesrisk-sensitive stochastic controlexpert opinionsalternative data
Optimal stochastic control (93E20) Financial markets (91G15) Jump processes on discrete state spaces (60J74)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust Kalman tracking and smoothing with propagating and non-propagating outliers
- Optimum consumption and portfolio rules in a continuous-time model
- Jumps in equilibrium prices and market microstructure noise
- Applied stochastic control of jump diffusions.
- Optimal investment under partial information
- Testing for jumps in a discretely observed process
- Risk-sensitive dynamic asset management
- Robust recursive estimation in the presence of heavy-tailed observation noise
- Strategic asset allocation
- A large deviations approach to optimal long term investment
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- High-frequency jump tests: which test should we use?
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
- Measuring news sentiment
- Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
- Risk-Constrained Dynamic Active Portfolio Management
- Nonlinear Filtering for Jump Diffusion Observations
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Role of Learning in Dynamic Portfolio Decisions *
- Risk-sensitive portfolio optimization on infinite time horizon
- Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Robust Variational-Based Kalman Filter for Outlier Rejection With Correlated Measurements
- EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT
- Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions
- PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
- Stochastic differential equations. An introduction with applications.
- Risk‐sensitive benchmarked asset management with expert forecasts
- Innovative and additive outlier robust Kalman filtering with a robust particle filter
Related Items (2)
Duality in optimal consumption-investment problems with alternative data ⋮ Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
This page was built for publication: Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data