Optimal portfolio choice for unobservable and regime-switching mean returns
type: Item
instance of: scholarly article
title: Optimal portfolio choice for unobservable and regime-switching mean returns
zbMATH Open document ID: 1179.91233
DOI: 10.1016/S0165-1889(02)00106-9
author: Toshiki Honda
publication date: 2008-10-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 5356888
zbMATH Keywords: regime switching
zbMATH Keywords: optimal consumption and portfolio
zbMATH Keywords: incomplete information
zbMATH Keywords: degenerate partial differential equation
zbMATH Keywords: stochastic flows
MaRDI profile type: Publication
cites work: Q3794956
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Futures markets and commodity options: Hedging and optimality in incomplete markets
cites work: The Role of Learning in Dynamic Portfolio Decisions *
cites work: Strategic asset allocation
cites work: Consumption and Portfolio Decisions when Expected Returns are Time Varying
cites work: Q4230831
cites work: Martingale representation and hedging policies
cites work: Intertemporal asset pricing with heterogeneous beliefs
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: Functional Integration and Partial Differential Equations. (AM-109)
cites work: Q4002114
cites work: A Note On Utility Maximization Under Partial Observations1
cites work: CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
cites work: Q4139359
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: An Intertemporal Capital Asset Pricing Model
cites work: Q4842684
cites work: A generalized clark representation formula, with application to optimal portfolios
cites work: Q3996259
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5356888