Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T12:51:07Z | |
| dc.date.available | 2017-01-30T12:51:07Z | |
| dc.date.created | 2011-10-17T20:01:18Z | |
| dc.date.issued | 2005 | |
| dc.identifier.citation | Dokuchaev, Nikolai. 2005. Optimal solution of investment problems via linear parabolic equations generated by Kalman filter. SIAM Journal on Optimization. 44 (4): pp. 1239-1258. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/25971 | |
| dc.description.abstract |
We 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.publisher | SIAM Publications | |
| dc.subject | non-observable parameters | |
| dc.subject | Kalman filter | |
| dc.subject | Optimal portfolio | |
| dc.title | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter | |
| dc.type | Journal Article | |
| dcterms.source.volume | 44 | |
| dcterms.source.number | 4 | |
| dcterms.source.startPage | 1239 | |
| dcterms.source.endPage | 1258 | |
| dcterms.source.issn | 10526234 | |
| dcterms.source.title | SIAM Journal on Optimization | |
| curtin.note |
Copyright © 2005 Society for Industrial and Applied Mathematics (SIAM) | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |