Portfolio optimization for a large investor controlling market sentiment under partial information


We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics depending on an unobservable Markov chain, with intensity controlled by actions of the... [ view full abstract ]


  1. Katia Colaneri (University of Leeds)
  2. Sühan Altay (Vienna University of Technology)
  3. Zehra Eksi (WU - Vienna University of Economics and Business)

Topic Areas

Optimal Control , Portfolio Theory , Utility Theory


WE-A-SY » Information and Commodities (11:30 - Wednesday, 18th July, Synge)

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