2015/02/08 by Nikolai Dokuchaev, Dokuchaev, Nikolai
Decision Sciences · Economics, Econometrics and Finance · #49K45 #60G15 #93E20 #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #msc:49K45 #msc:60G15 #msc:93E20 #q-fin.MF #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1502.02352
arXiv admin note: text overlap with arXiv:0804.4522
openalex publication_date 2015/02/08 · arxiv created 2015/02/09 · arxiv updated 2015/02/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather use historical stock prices and an a priory given distribution of the appreciation rates. An explicit solution is found for case of power utilities and for a case when the problem can be embedded to a Markovian setting. Some new estimates and filters for the appreciation rates are given.