Optimal portfolio in partially observed stochastic volatility models

Annals of Applied Probability

Volumn 11, Issue 1, 2001, Pages 210-238

  Pham, Huyên ^a   Quenez, Marie Claire ^b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Bayesian control; Dynamic programming; Filtering; Kalman Bucy filter; Stochastic volatility; Utility maximization

Indexed keywords

EID: 0035629418     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/998926991     Document Type: Article

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