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Optimal trading strategy for an investor: the case of partial 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. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
  3. 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.
  4. Michael Mania & Marina Santacroce, 2008. "Exponential Utility Maximization under Partial Information," ICER Working Papers - Applied Mathematics Series 24-2008, ICER - International Centre for Economic Research.
  5. 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.
  6. 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.
  7. Ali Lazrak & Marie Claire Quenez, 2003. "A Generalized Stochastic Differential Utility," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 154-180, February.
  8. Song, Dandan & Wang, Huamao & Yang, Zhaojun, 2014. "Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 1-11.
  9. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  10. Ahmed Belhadjayed & Grégoire Loeper & Sofiene El Aoud & Frédéric Abergel, 2017. "Performance analysis of the optimal strategy under partial information," Post-Print hal-01512432, HAL.
  11. Carmine De Franco & Johann Nicolle & Huy^en Pham, 2018. "Bayesian learning for the Markowitz portfolio selection problem," Papers 1811.06893, arXiv.org.
  12. Zongxia Liang & Qi Ye, 2024. "Optimal information acquisition for eliminating estimation risk," Papers 2405.09339, arXiv.org.
  13. Yao, Jing & Li, Duan, 2013. "Bounded rationality as a source of loss aversion and optimism: A study of psychological adaptation under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 18-31.
  14. Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
  15. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
  16. Dalia Ibrahim & Fr'ed'eric Abergel, 2014. "Non-linear filtering and optimal investment under partial information for stochastic volatility models," Papers 1407.1595, arXiv.org, revised Jul 2015.
  17. Claus Munk & Alexey Rubtsov, 2014. "Portfolio management with stochastic interest rates and inflation ambiguity," Annals of Finance, Springer, vol. 10(3), pages 419-455, August.
  18. Rudiger Frey & Abdelali Gabih & Ralf Wunderlich, 2013. "Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach," Papers 1303.2513, arXiv.org, revised Feb 2014.
  19. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  20. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
  21. 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.
  22. Nikolai Dokuchaev, 2015. "Optimal portfolio with unobservable market parameters and certainty equivalence principle," Papers 1502.02352, arXiv.org.
  23. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Bayesian Learning For The Markowitz Portfolio Selection Problem," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-40, November.
  24. 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.
  25. 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).
  26. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Dealing with Drift Uncertainty: A Bayesian Learning Approach," Risks, MDPI, vol. 7(1), pages 1-18, January.
  27. Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
  28. 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.
  29. 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.
  30. Fenge Chen & Bing Li & Xingchun Peng, 2022. "Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 635-659, June.
  31. Tiziano De Angelis & Erik Ekström & Kristoffer Glover, 2022. "Dynkin Games with Incomplete and Asymmetric Information," Mathematics of Operations Research, INFORMS, vol. 47(1), pages 560-586, February.
  32. 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.
  33. 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.
  34. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2023. "An optimal portfolio and consumption problem with a benchmark and partial information," Mathematics and Financial Economics, Springer, volume 17, number 6, March.
  35. 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.
  36. 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.
  37. Michael Mania & Marina Santacroce, 2010. "Exponential utility maximization under partial information," Finance and Stochastics, Springer, vol. 14(3), pages 419-448, September.
  38. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
  39. Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
  40. 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.
  41. 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.
  42. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
  43. Dandan Song & Zhaojun Yang, 2014. "Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 1-26, June.
  44. 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.
  45. 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.
  46. 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.
  47. Thomas Lim & Marie-Claire Quenez, 2010. "Portfolio optimization in a default model under full/partial information," Papers 1003.6002, arXiv.org, revised Nov 2013.
  48. 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.
  49. 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.
  50. 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.
  51. Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2016-2036, September.
  52. 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.
  53. 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.
  54. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility maximization under partial information," Papers 1605.05802, arXiv.org.
  55. Dalia Ibrahim & Frédéric Abergel, 2014. "Non-linear filtering and optimal investment under partial information for stochastic volatility models," Working Papers hal-01018869, HAL.
  56. 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.
  57. Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
  58. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
  59. Liang, Zhibin & Yuen, Kam Chuen & Guo, Junyi, 2011. "Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 207-215, September.
  60. Carmine De Franco & Johann Nicolle & Huy^en Pham, 2020. "Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution," Papers 2010.15779, arXiv.org, revised Oct 2020.
  61. Michael Boguslavsky & Elena Boguslavskaya, 2003. "Optimal Arbitrage Trading," Finance 0309012, University Library of Munich, Germany.
  62. Brendle, Simon, 2006. "Portfolio selection under incomplete information," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 701-723, May.
  63. Michele Longo & Alessandra Mainini, 2015. "Learning and Portfolio Decisions for HARA Investors," Papers 1502.02968, arXiv.org.
  64. Carmine de Franco & Johann Nicolle & Huyên Pham, 2018. "Bayesian learning for the Markowitz portfolio selection problem," Working Papers hal-01923917, HAL.
  65. Jinqiang Yang & Zhaojun Yang, 2012. "Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 195-217, February.
  66. 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.
  67. 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.
  68. Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
  69. David Feldman, 2007. "Incomplete information equilibria: Separation theorems and other myths," Annals of Operations Research, Springer, vol. 151(1), pages 119-149, April.
  70. Erik Ekstrom & Juozas Vaicenavicius, 2015. "Optimal liquidation of an asset under drift uncertainty," Papers 1509.00686, arXiv.org.
  71. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
  72. Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
  73. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  74. Yue Yang & Xiang Yu, 2019. "Optimal Entry and Consumption under Habit Formation," Papers 1903.04257, arXiv.org, revised Jul 2021.
  75. Dalia Ibrahim & Frédéric Abergel, 2018. "Non-linear filtering and optimal investment under partial information for stochastic volatility models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 311-346, June.
  76. Manli Ban & Hua He & Xiaoqing Liang, 2022. "Optimal Investment Strategy for DC Pension Schemes under Partial Information," Risks, MDPI, vol. 10(11), pages 1-20, November.
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