IDENTIFICATION AND CONTROL IN THE PARTIALLY KNOWN MERTON PORTFOLIO SELECTION MODEL

Authors
BIELECKI TR FREI M
Citation
Tr. Bielecki et M. Frei, IDENTIFICATION AND CONTROL IN THE PARTIALLY KNOWN MERTON PORTFOLIO SELECTION MODEL, Journal of optimization theory and applications, 77(2), 1993, pp. 399-420
Citations number
16
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science
Journal title
Journal of optimization theory and applications → ACNP
ISSN journal
00223239
Volume
77
Issue
2
Year of publication
1993
Pages
399 - 420
Database
ISI
SICI code
0022-3239(1993)77:2<399:IACITP>2.0.ZU;2-S
Abstract
Different aspects of the Merton two-asset portfolio selection model ar e studied in the case where the average rate of return for the risky a sset alpha is not known to the investor. In particular, we investigate the question of estimation of alpha under arbitrary admissible alloca tion policy. The question of optimality of adaptive allocation policie s is also discussed.