Portfolio optimization with unobservable markov-modulated drift process

Journal of Applied Probability

Volumn 42, Issue 2, 2005, Pages 362-378

  Rieder, Ulrich ^a   Bäuerle, Nicole ^b  

^a UNIVERSITY OF ULM   (Germany)

^b LEIBNIZ UNIVERSITY HANNOVER   (Germany)

Author keywords

Bayesian control; Hamilton Jacobi Bellman equation; Markov modulated drift; Optimal investment strategy; Portfolio optimization; Stochastic ordering

Indexed keywords

EID: 23944524330     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1118777176     Document Type: Article

References (13)

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