Portfolio optimization with jumps and unobservable intensity process

Mathematical Finance

Volumn 17, Issue 2, 2007, Pages 205-224

  Bäuerle, Nicole ^a   Rieder, Ulrich ^b  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF ULM   (Germany)

Author keywords

Bayesian control; Filtering; Generalized HJB equation; Jump diffusion process; Optimal portfolio strategies; Stochastic comparison; Stochastic control; Utility maximization

Indexed keywords

EID: 33947321590     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00300.x     Document Type: Article

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