Multi-period mean variance portfolio selection under incomplete information

This paper solves an optimal portfolio selection problem in the discrete‐time setting where the states of the financial market cannot be completely observed, which breaks the common assumption that the states of the financial market are fully observable. The dynamics of the unobservable market state...

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Veröffentlicht in:	Applied stochastic models in business and industry 2016-11, Vol.32 (6), p.753-774
Hauptverfasser:	Zhang, Ling, Li, Zhongfei, Xu, Yunhui, Li, Yongwu
Format:	Artikel
Sprache:	eng
Schlagworte:	Business hidden Markov chain Investment Investment strategy Markets Optimization portfolio optimization regime switching Statistics sufficient statistics Terminals Utilities
Online-Zugang:	Volltext
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