Portfolio optimization with unobservable Markov-modulated drift process

By Ulrich Rieder, Nicole Bäuerle. Journal of Applied Probability, 2005

153 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0ab0f981a555e8e815e28e4d2331b26b4859fb18

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ralf Wunderlich
2. Abdelali Gabih
3. Rüdiger Frey
4. James W. Taylor
5. Alexander J. McNeil
6. H. Byström
7. Paul Embrechts
8. St'ephane Cr'epey

In Management Science and Operations Research

1. Ralf Wunderlich
2. Abdelali Gabih
3. Rüdiger Frey

Citations in the corpus

• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS (2007, unknown): “The most recent papers by Honda (2003), Sass and Haussmann (2004), Haussmann and Sass (2004), and Rieder and Bäuerle (2005) consider a Hidden Markov Model for (µt).”
• PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS (2012, methodology): “In the present paper we follow Rieder and Bäuerle (2005) for the setup of the HJB equation in a model with an unobservable drift modelled by a finite-state Markov chain.”