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Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A.; Landén, Camilla - 2010 - Reprinted

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in...

Persistent link: https://www.econbiz.de/10009487225

Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A. - In: Mathematical methods of operations research 71 (2010) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10003958366

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161

Jump-diffusion asset-liabilty management via risk-sensitive control

Davis, Mark H. A.; Lleo, Sébastien - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 655-675

Persistent link: https://www.econbiz.de/10011296728

Debiased expert forecasts in continuous-time asset allocation

Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16

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A simple procedure for combining expert opinion with statistical estimates to achieve superior portfolio performance

Davis, Mark H. A.; Lleo, Sébastien - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 49-58

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Taming animal spirits : risk management with behavioural factors

Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, … - In: Annals of finance 9 (2013) 2, pp. 145-166

Persistent link: https://www.econbiz.de/10009741199

Risk-sensitive investment management

Davis, Mark H. A.; Lleo, Sébastien - 2015

Persistent link: https://www.econbiz.de/10013421582

Diversified portfolios in continuous time

Björk, Tomas - In: European finance review : the official journal of the … 1 (1997) 3, pp. 361-387

Persistent link: https://www.econbiz.de/10001249381

On time-inconsistent stochastic control in continuous time

Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360

Persistent link: https://www.econbiz.de/10011944378