We investigate asset management in a regime switching framework when the fund manager aims to beat a certain target for the assets under management over an infinite horizon or over a finite horizon. We consider both a full information and a partial information setting. In a full information...

We consider general stochastic volatility models driven by continuous Brownian semimartingales, we show that the volatility of the variance and the leverage component (covariance between the asset price and the variance) can be reconstructed pathwise by exploiting Fourier analysis from the...