Performance analysis of the optimal strategy under partial information

Article English OPEN
Belhadjayed , Ahmed; Loeper , Grégoire; El Aoud , Sofiene; Abergel , Frédéric;
  • Publisher: World Scientific Publishing
  • Related identifiers: doi: 10.1142/S0219024917500169
  • Subject: [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]

International audience; The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable Ornstein-Uhlenbeck p... View more
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