Portfolio Optimization in Discontinuous Markets under Incomplete Information
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References listed on IDEAS
- Huyên Pham & Peter Tankov, 2008. "A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 613-627.
- Bernt Oksendal, 2005. "The Value Of Information In Stochastic Control And Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 352-364, December.
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- Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
- Edoli, Enrico & Runggaldier, Wolfgang J., 2010. "On optimal investment in a reinsurance context with a point process market model," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 315-326, December.
- repec:spr:compst:v:71:y:2010:i:2:p:371-399 is not listed on IDEAS
- Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
- Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
More about this item
KeywordsPortfolio optimization; Stochastic control; Discontinuous Markets; Incomplete information; Primary 93E20; Secondary 91B28;
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