arXiv Open Access 2015

Optimal portfolio with unobservable market parameters and certainty equivalence principle

Nikolai Dokuchaev

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Abstrak

We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather use historical stock prices and an a priory given distribution of the appreciation rates. An explicit solution is found for case of power utilities and for a case when the problem can be embedded to a Markovian setting. Some new estimates and filters for the appreciation rates are given.

Topik & Kata Kunci

q-fin.MF q-fin.PM

Penulis (1)

Nikolai Dokuchaev

Format Sitasi

APA MLA BibTeX

Dokuchaev, N. (2015). Optimal portfolio with unobservable market parameters and certainty equivalence principle. https://arxiv.org/abs/1502.02352

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓