Optimal solution of investment problems via linear parabolic equations generated by Kalman filter

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dc.creatorDokuchaev, Nikolai
dc.date2008-04-29
dc.date.accessioned2026-07-07T12:05:48Z
dc.date.available2026-07-07T12:05:48Z
dc.descriptionWe consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, the optimal portfolio strategy is expressed via the solution of a scalar minimization problem and a linear parabolic equation with coefficients generated by the Kalman filter.
dc.description25 pages
dc.identifierhttps://arxiv.org/abs/0804.4522
dc.identifierhttp://arxiv.org/abs/0804.4522
dc.identifierSIAM J. of Control and Optimization} (2005) 44, No. 4, pp. 1239-1258
dc.identifierdoi:10.1137/S036301290342557x
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208479
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject49K45, 60G15, 93E20
dc.titleOptimal solution of investment problems via linear parabolic equations generated by Kalman filter
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