We analyze the Merton portfolio optimization problem when the growth rate is an
unobserved Gaussian process whose level is estimated by filtering from observations of the …

We consider the problem of filtering and control in the setting of portfolio optimization in
financial markets with random factors that are not directly observable. The example that we …

In this short note we prove a conjecture posed in Cui et al.(Math Finance 22: 346–378,
2012): Dynamic mean–variance problems in arbitrage-free, complete financial markets do …

We consider an investor facing a classical portfolio problem of optimal investment in a log-
Brownian stock and a fixed-interest bond, but constrained to choose portfolio and …

We consider an investor who faces parameter uncertainty in a continuous-time financial
market. We model the investor's preference by a power utility function leading to constant …

This paper considers the problem of portfolio optimization in a market with partial information
and discretely observed price processes. Partial information refers to the setting where …

In dieser Arbeit untersuchen wir optimale Portfoliostrategien für nutzenmaximierende
Investoren in einem zeitstetigen Finanzmarktmodell, bei dem die Drift durch einen Ornstein …

Abstract We consider a Hidden Markov Model (HMM) where the integrated continuous-time
Markov chain can be observed at discrete time points perturbed by a Brownian motion. The …

Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time
exponential Levy model with finite time horizon. We discretize the model by restricting …

This thesis is concerned with stochastic models to manage financial risks. The first part deals
with market risk and considers an investor facing a classical portfolio problem of optimal …