Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Portfolio Management
2008-12-02 v1 Optimization and Control
Probability
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.
Keywords
Cite
@article{arxiv.0804.4522,
title = {Optimal solution of investment problems via linear parabolic equations generated by Kalman filter},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:0804.4522},
year = {2008}
}
Comments
25 pages