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Portfolio selection under incomplete information

Citations

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Cited by:

  1. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
  2. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
  3. Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
  4. Michele Longo & Alessandra Mainini, 2017. "Welfare effects of information and rationality in portfolio decisions under parameter uncertainty," Papers 1709.04387, arXiv.org.
  5. Wang, Pei & Shen, Yang & Zhang, Ling & Kang, Yuxin, 2021. "Equilibrium investment strategy for a DC pension plan with learning about stock return predictability," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 384-407.
  6. Ahmed Belhadjayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel, 2017. "Performance analysis of the optimal strategy under partial information," Post-Print hal-01512432, HAL.
  7. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
  8. 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.
  9. Huang, Jia & Chen, Zheng, 2021. "Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk," Finance Research Letters, Elsevier, vol. 38(C).
  10. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2022. "Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift," Papers 2205.08614, arXiv.org, revised Jul 2024.
  11. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
  12. Jörn Sass & Ralf Wunderlich, 2010. "Optimal portfolio policies under bounded expected loss and partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 72(1), pages 25-61, August.
  13. Michael Monoyios, 2010. "Utility-Based Valuation and Hedging of Basis Risk With Partial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 519-551.
  14. Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "The value of knowing the market price of risk," Annals of Operations Research, Springer, vol. 299(1), pages 101-131, April.
  15. Wolfgang Putschögl & Jörn Sass, 2008. "Optimal consumption and investment under partial information," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(2), pages 137-170, November.
  16. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
  17. Abdelali Gabih & Hakam Kondakji & Jorn Sass & Ralf Wunderlich, 2014. "Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift," Papers 1402.6313, arXiv.org.
  18. Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
  19. Abdelali Gabih & Ralf Wunderlich, 2023. "Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results," Papers 2308.02049, arXiv.org, revised Jun 2024.
  20. Michele Longo & Alessandra Mainini, 2015. "Learning and Portfolio Decisions for HARA Investors," Papers 1502.02968, arXiv.org.
  21. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2015. "Forecasting trends with asset prices," Papers 1504.03934, arXiv.org, revised Apr 2015.
  22. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
  23. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
  24. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Fr'ed'eric Abergel, 2016. "Robustness of mathematical models and technical analysis strategies," Papers 1605.00173, arXiv.org.
  25. Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
  26. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2024. "Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift," Annals of Operations Research, Springer, vol. 341(2), pages 897-936, October.
  27. Ahmed Bel Hadj Ayed & Gr'egoire Loeper & Sofiene El Aoud & Fr'ed'eric Abergel, 2015. "Performance analysis of the optimal strategy under partial information," Papers 1510.03596, arXiv.org.
  28. Sangmin Lee & Andrew Papanicolaou, 2016. "Pairs Trading Of Two Assets With Uncertainty In Co-Integration'S Level Of Mean Reversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-36, December.
  29. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2023. "Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift," Papers 2301.06847, arXiv.org, revised Jun 2024.
  30. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
  31. Jörn Sass & Dorothee Westphal & Ralf Wunderlich, 2017. "Expert Opinions And Logarithmic Utility Maximization For Multivariate Stock Returns With Gaussian Drift," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-41, June.
  32. 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.
  33. 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.
  34. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2018. "Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift," Papers 1812.03453, arXiv.org, revised Mar 2020.
  35. E. Boguslavskaya & M. Boguslavsky & D. Muravey, 2020. "Trading multiple mean reversion," Papers 2009.09816, arXiv.org.
  36. Ahmed Bel Hadj Ayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel, 2017. "Performance Analysis Of The Optimal Strategy Under Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-21, March.
  37. Christoph Knochenhauer & Alexander Merkel & Yufei Zhang, 2024. "Optimal Investment with Costly Expert Opinions," Papers 2409.11569, arXiv.org.
  38. Jorn Sass & Dorothee Westphal & Ralf Wunderlich, 2016. "Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift," Papers 1601.08155, arXiv.org, revised Mar 2016.
  39. Yue Yang & Xiang Yu, 2019. "Optimal Entry and Consumption under Habit Formation," Papers 1903.04257, arXiv.org, revised Jul 2021.
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