Continuous-time Mean-Variance Portfolio Selection with Partial Information

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Amini Anarani, Ebrahim | 2016

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 48663 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Moghadasi, Reza; Zamani, Shiva
Abstract:
In this thesis, we study a continuous time financial market of some risky assets and a risk-free asset for investment in a finite time period. We use mean-variance approach for investment in this market. In the model considered here, the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. In first step, by filtering and in secound step by solving the stochastic control problem, we show that the optimal portfolio strategy can be constructed by solving three ordinary differential equations
Keywords:
Filtering ; Mean-Variance Method ; Portfolio Selection Problem ; Stock Selection ; Partial Information