Performance analysis of the optimal strategy under partial information
Belhadjayed , Ahmed
Loeper , Grégoire
El Aoud , Sofiene
Abergel , Frédéric
- Publisher: World Scientific Publishing
[ 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...