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Portfolio Optimization With Jumps And Unobservable Intensity Process

Citations

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Cited by:

  1. Katia Colaneri & Zehra Eksi & Rudiger Frey & Michaela Szolgyenyi, 2016. "Optimal Liquidation under Partial Information with Price Impact," Papers 1606.05079, arXiv.org, revised Jun 2019.
  2. Nicole Bauerle & Gregor Leimcke, 2021. "Bayesian optimal investment and reinsurance with dependent financial and insurance risks," Papers 2103.05777, arXiv.org.
  3. Xie, Lin & Chen, Lv & Qian, Linyi & Li, Danping & Yang, Zhixin, 2023. "Optimal investment and consumption strategies for pooled annuity with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 129-155.
  4. C. Ye & R. H. Liu & D. Ren, 2018. "Optimal Asset Allocation With Stochastic Interest Rates In Regime-Switching Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  5. Nicole Bauerle & Gregor Leimcke, 2020. "Robust Optimal Investment and Reinsurance Problems with Learning," Papers 2001.11301, arXiv.org.
  6. Michele Longo & Alessandra Mainini, 2016. "Learning And Portfolio Decisions For Crra Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-21, May.
  7. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  8. Nicole Bäuerle & Ulrich Rieder, 2009. "MDP algorithms for portfolio optimization problems in pure jump markets," Finance and Stochastics, Springer, vol. 13(4), pages 591-611, September.
  9. 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.
  10. Philippe Casgrain & Sebastian Jaimungal, 2018. "Trading algorithms with learning in latent alpha models," Papers 1806.04472, arXiv.org.
  11. 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.
  12. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 25-43, March.
  13. 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.
  14. Rodwell Kufakunesu & Calisto Guambe & Lesedi Mabitsela, 2018. "Risk-based optimal portfolio of an insurer with regime switching and noisy memory," Papers 1808.04604, arXiv.org, revised Mar 2019.
  15. Giulia Di Nunno & Steffen Sjursen, 2013. "Information and optimal investment in defaultable assets," Papers 1312.6032, arXiv.org.
  16. Brachetta, M. & Ceci, C., 2020. "A BSDE-based approach for the optimal reinsurance problem under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 1-16.
  17. Kexin Chen & Hoi Ying Wong, 2024. "Duality in optimal consumption–investment problems with alternative data," Finance and Stochastics, Springer, vol. 28(3), pages 709-758, July.
  18. Ulrich Rieder & Jens Winter, 2009. "Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 567-596, December.
  19. 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.
  20. Oleksandra Putyatina & Jörn Sass, 2018. "Approximation for portfolio optimization in a financial market with shot-noise jumps," Computational Management Science, Springer, vol. 15(2), pages 161-186, June.
  21. Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
  22. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.
  23. Ali Al-Aradi & Sebastian Jaimungal, 2020. "A Variational Analysis Approach to Solving the Merton Problem," Papers 2003.08450, arXiv.org.
  24. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
  25. Michele Longo & Alessandra Mainini, 2015. "Learning and Portfolio Decisions for HARA Investors," Papers 1502.02968, arXiv.org.
  26. Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
  27. Liang, Zhibin & Bayraktar, Erhan, 2014. "Optimal reinsurance and investment with unobservable claim size and intensity," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 156-166.
  28. Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.
  29. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
  30. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2020. "Optimal reduction of public debt under partial observation of the economic growth," Finance and Stochastics, Springer, vol. 24(4), pages 1083-1132, October.
  31. Chen, Dengsheng & Yang, Wensheng & Wang, Chengben, 2024. "Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
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