Portfolio optimization with unobservable Markov-modulated drift process
type: Item
instance of: scholarly article
title: Portfolio optimization with unobservable Markov-modulated drift process
zbMATH Open document ID: 1138.93428
author: Ulrich Rieder
author: Nicole Bäuerle
published in: Journal of Applied Probability
publication date: 2005-10-18T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 2215298
zbMATH Keywords: ortfolio optimization
zbMATH Keywords: Markov-modulated drift
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: optimal investment strategy
zbMATH Keywords: Bayesian control
zbMATH Keywords: stochastic ordering
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1239/jap/1118777176
OpenAlex ID: W2015692920
cites work: Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
cites work: Q4323296
cites work: Q3160506
cites work: Bayesian adaptive portfolio optimization
cites work: Q4714065
cites work: CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
cites work: Utility maximization with partial information
cites work: Optimal trading strategy for an investor: the case of partial information
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
cites work: Q4227229
cites work: Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
cites work: A solution approach to valuation with unhedgeable risks
DOI: 10.1239/JAP/1118777176
description: scientific article; zbMATH DE number 2215298