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标题：Portfolio Optimization with Non-Constant Volatility and Partial Information
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作者：M. HAHN ; W. PUTSCHÖGL ; J. SASS 等
期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2007
卷号：21
期号：1
页码：27-61
出版社：Brazilian Statistical Association
摘要：We consider a stock market model where prices satisfya sto chastic di.erential equation. The instantaneous rates of return aremodeled as a continuous time Markov chain with finitely many states. For thevolatility we consider the Hobson-Rogers mo del and one of its modifications.On one hand these allow to work within a complete market, on the otherhand they are well motivated since they can account for realistic volatilitysmiles. The investor's ob jective is to maximize the expected utility of theterminal wealth under partial information; the latter meaning that investmentdecisions are based on the knowledge of the stock prices only. We derive anexplicit representation of the optimal trading strategy using Malliavin calculusand estimate the mo del parameters using Markov chain Monte Carlo methods.We apply the theoretical results to simulated and market data
关键词：Hidden Markov model filtering; Malliavin calculus; Markov;chain Monte Carlo; stochastic volatility; utility maximization