Portfolio selection with imperfect infor
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Ethem Çanakoğlu; Süleyman Özekici
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Article
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2011
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John Wiley and Sons
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English
⚖ 223 KB
## Abstract We consider a utility‐based portfolio selection problem, where the parameters change according to a Markovian market that cannot be observed perfectly. The market consists of a riskless and many risky assets whose returns depend on the state of the unobserved market process. The states