Mean-variance portfolio selection under partial information with drift uncertainty
Portfolio Management
2020-10-27 v3 Optimization and Control
Probability
Abstract
In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty. First we show that the market model is complete even in this case while the information is not complete and the drift is uncertain. Then, the optimal strategy based on partial information is derived, which reduces to solving a related backward stochastic differential equation (BSDE). Finally, we propose an efficient numerical scheme to approximate the optimal portfolio that is the solution of the BSDE mentioned above. Malliavin calculus and the particle representation play important roles in this scheme.
Keywords
Cite
@article{arxiv.1901.03030,
title = {Mean-variance portfolio selection under partial information with drift uncertainty},
author = {Jie Xiong and Zuo quan Xu and Jiayu Zheng},
journal= {arXiv preprint arXiv:1901.03030},
year = {2020}
}
Comments
23 pages, 5 figures