BZPEERReading, trust and collaboration for research
Menu

Discover

GraphFollow connections around a paper, topic or saved view.

Workspaces

HomePick up where your research flow left off.InboxHandle requests, replies and notifications from one place.CollectionsCurate reading lists, evidence sets and shareable dossiers.ResearchSee your private provenance graph, trail and imports.CollaborationMove from discovery into focused discussion rooms.PublishDraft, preview and publish full-text research articles.

Network

ExpertsFind specialists worth following or asking for help.CommunitiesJoin research circles organized around shared work.PartnersSee external organizations active around the same topics.

Opportunities

ListingsBrowse roles, calls and collaborations with clearer fit signals.

Account

Log inReturn to your reading and collaboration workspace.Create accountStart saving work, following people and joining teams.
Log inCreate account

Paper detail

Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem into an optimization problem under full information where the state variable is the filter for the Markov chain. The dynamic programming equation for this problem is studied with viscosity-solution techniques and with regularization arguments.

preprint2014arXivOpen access
Rüdiger FreyAbdelali GabihRalf Wunderlich
q-fin.PM
0citations
0reviews
0saves
Nocode
Nodataset
0institutions

Next steps

Decide what to do with this paper

Like0Dislike0Score 0

Use like or dislike for the fast social read. The more specific scholarly feedback stays available below when needed.

Save to reading list0
Log in to curate

Reading frame

Keep the important context close to the paper

Keep the important signals around this paper in one place: votes, save state, collection context, reviews and the metadata you need before deciding what to do next.

Authors

Rüdiger FreyAbdelali GabihRalf Wunderlich

Institutions

No institution affiliation has been imported for this paper yet.

Add specific reaction

Move through the context

Research map

Open full explorer

Move through nearby people, institutions, topics and adjacent work without leaving the paper page.

Building this graph slice

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Structured reviews

0 review(s)

ContributeLeave structured feedbackUse the review template when you have a concrete strength, concern or method question.Open review form
Log in to review

No structured reviews yet. High-signal critique starts here.

Work discussion

0 comment(s)

DiscussAdd a high-signal commentKeep quick notes, caveats and replication pointers separate from formal reviews.Open comment form
Log in to comment

No discussion yet. The first strong comment sets the tone.