Optimal portfolio, partial information and Malliavin calculus

被引：13

作者：

Di Nunno, Giulia ^{[1
]}

Oksendal, Bernt ^{[1
,2
]}

机构：

[1] Univ Oslo, Dept Math, CMA, N-0316 Oslo, Norway

[2] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2009年 / 81卷 / 3-4期

关键词：

stochastic control; partial information; optimal portfolio; utility maximization; Malliavin calculus;

D O I：

10.1080/17442500902917979

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In a market driven by Levy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events. In this sense, we refer to this dealer as having partial information. For this generally incomplete market and within a non-Markovian setting, we give a characterization for a portfolio maximizing the expected utility of the final wealth. Techniques of Malliavin calculus are used for the analysis.

引用

页码：303 / 322

页数：20

共 18 条

[1]

[Anonymous], 2004, Levy processes and stochastic calculus

[2] Explicit representation of the minimal variance portfolio in markets driven by Levy processes [J].