Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
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DOI: 10.1007/s11579-019-00241-1
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Other versions of this item:
- Alexis Bismuth & Olivier Guéant & Jiang Pu, 2019. "Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252482, HAL.
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Cited by:
- Felix Dammann & Giorgio Ferrari, 2023. "Optimal execution with multiplicative price impact and incomplete information on the return," Finance and Stochastics, Springer, vol. 27(3), pages 713-768, July.
- Felix Dammann & Giorgio Ferrari, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Papers 2202.10414, arXiv.org, revised Nov 2022.
- Dongmei Zhu & Harry Zheng, 2022. "Effective Approximation Methods for Constrained Utility Maximization with Drift Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 194(1), pages 191-219, July.
- Andrea Mazzon & Peter Tankov, 2024. "Optimal stopping and divestment timing under scenario ambiguity and learning," Papers 2408.09349, arXiv.org, revised Oct 2024.
- Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
- Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
- Dammann, Felix & Ferrari, Giorgio, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Center for Mathematical Economics Working Papers 663, Center for Mathematical Economics, Bielefeld University.
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Keywords
Optimal portfolio choice; Optimal execution; Optimal portfolio liquidation; Optimal portfolio transition; Bayesian learning; Online learning; Stochastic optimal control; Hamilton–Jacobi–Bellman equations;All these keywords.
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