Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
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...
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| Format: | Journal Article |
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SIAM Publications
2005
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| Online Access: | http://hdl.handle.net/20.500.11937/25971 |
| _version_ | 1848751854063714304 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:59:20Z |
| format | Journal Article |
| id | curtin-20.500.11937-25971 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:59:20Z |
| publishDate | 2005 |
| publisher | SIAM Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-259712017-01-30T12:51:08Z Optimal solution of investment problems via linear parabolic equations generated by Kalman filter Dokuchaev, Nikolai non-observable parameters Kalman filter Optimal portfolio 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. 2005 Journal Article http://hdl.handle.net/20.500.11937/25971 SIAM Publications fulltext |
| spellingShingle | non-observable parameters Kalman filter Optimal portfolio Dokuchaev, Nikolai Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title_full | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title_fullStr | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title_full_unstemmed | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title_short | Optimal solution of investment problems via linear parabolic equations generated by Kalman filter |
| title_sort | optimal solution of investment problems via linear parabolic equations generated by kalman filter |
| topic | non-observable parameters Kalman filter Optimal portfolio |
| url | http://hdl.handle.net/20.500.11937/25971 |