Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

23 Nov 2016Alexis BismuthOlivier GuéantJiang Pu

This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a coupling between Bayesian learning and dynamic programming techniques that leads to partial differential equations... (read more)

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