Optimal solution of investment problems via linear parabolic equations generated by Kalman filter

Details Optimal solution of investment problems via linear parabolic equations generated by Kalman filter Optimal solution of investment problems via linear parabolic equations generated by Kalman filter

2008-04-29

arxiv.org/abs/0804.4522v1

SIAM J. of Control and Optimization} (2005) 44, No. 4, pp. 1239-1258

Economy

Quantitative Finance

Portfolio Management

25 pages

Scientific paper

10.1137/S036301290342557x

We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, the optimal portfolio strategy is expressed via the solution of a scalar minimization problem and a linear parabolic equation with coefficients generated by the Kalman filter.

Affiliated with

Also associated with

No associations

Rating

Optimal solution of investment problems via linear parabolic equations generated by Kalman filter does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal solution of investment problems via linear parabolic equations generated by Kalman filter, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal solution of investment problems via linear parabolic equations generated by Kalman filter will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-209295