𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

✍ Scribed by Nicole Bäuerle; Ulrich Rieder


Book ID
111043064
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
161 KB
Volume
17
Category
Article
ISSN
0960-1627

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We study dynamic optimal consumption and portfolio choice for a setting in which the mean returns of a risky asset depend on an unobservable regime variable of the economy, which is deÿned as a continuous-time Markov chain. The investor estimates the current regime by observing past and present asse