Portfolio Optimization under Partial Information with Expert Opinions
This paper investigates optimal portfolio strategies in a market with partial information on the drift. The drift is modelled as a function of a continuous-time Markov chain with finitely many states which is not directly observable. Information on the drift is obtained from the observation of st...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
World Scientific Publishing
2012
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/3844/1/Frey.pdf http://dx.doi.org/10.1142/S0219024911006486 |