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PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors
11 references·4 citing·41 second hop
PDE Approach to Utility Maximization for Market Models with Hidden Markov Factors (2007)PDE Approach to Utility Maximization for …Bayesian Adaptive Portfolio Optimization (2010)Bayesian Adaptive Portfolio O…Stochastic differential equations and applications (2008)Stochastic differential equat…Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)Optimizing the terminal wealt…Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon (2002)Risk-Sinsitive Dynamic Portfo…Optimal Portfolio in Partially Observed Stochastic Volatility Models (2001)Optimal Portfolio in Partiall…Optimal trading strategy for an investor: the case of partial information (1998)Optimal trading strategy for …Utility maximization with partial information (1995)Utility maximization with par…Optimal Portfolio Choice Under Incomplete Information (1986)Optimal Portfolio Choice Unde…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Stochastic Differential Equations (1975)Stochastic Differential Equat…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…An optimal consumption and investment problem with partial information (2018)An optimal consumption and in…HARA frontiers of optimal portfolios in stochastic markets (2011)HARA frontiers of optimal por…Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach (2010)Optimal Investment for Worst-…Portfolio Optimization in Discontinuous Markets under Incomplete Information (2006)Portfolio Optimization in Dis…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Risk-Sensitive Dynamic Asset Management (1999)Risk‐Sensitive Control and an Optimal Investment Model (2000)Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Mean‐Variance Portfolio Selection under Partial Information (2007)Maximum Principles for Forward-Backward Stochastic Control Systems with Correlated State and Observation Noises (2013)Stochastic Differential Equations: Theory and Applications. (1976)The relaxed investor and parameter uncertainty (2001)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)A mean-field stochastic maximum principle via Malliavin calculus (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003)Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients (2008)Exponential utility maximization under partial information (2009)An Intertemporal General Equilibrium Model of Asset Prices (1985)Portfolio optimization with unobservable Markov-modulated drift process (2005)Optimal investment under partial information (2010)A generalized clark representation formula, with application to optimal portfolios (1991)A Monte Carlo Method for Optimal Portfolios (2003)EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)On estimating the expected return on the market (1980)The Role of Learning in Dynamic Portfolio Decisions (1998)How Does Information Quality Affect Stock Returns? (2000)Learning, Asset‐Pricing Tests, and Market Efficiency (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)On Equilibrium Asset Price Processes (1993)Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1986Optimal Portfolio Choice Under Incomplete Information436 cited
  • 1998Optimal trading strategy for an investor: the case of partial information231 cited
  • 1975Stochastic Differential Equations191 cited
  • 2004Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain175 cited
  • 1995Utility maximization with partial information172 cited
  • 2002Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon115 cited
  • 2001Optimal Portfolio in Partially Observed Stochastic Volatility Models99 cited
  • 2010Bayesian Adaptive Portfolio Optimization83 cited

Cited by

  • 2010Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach34 cited
  • 2011HARA frontiers of optimal portfolios in stochastic markets32 cited
  • 2006Portfolio Optimization in Discontinuous Markets under Incomplete Information28 cited
  • 2018An optimal consumption and investment problem with partial information

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27 cited