英文标题：
《Portfolio choice, portfolio liquidation, and portfolio transition under
drift uncertainty》
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作者：
Alexis Bismuth, Olivier Gu\\\'eant, Jiang Pu
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最新提交年份：
2019
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英文摘要：
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. It enables to recover the well-known results of Karatzas and Zhao in a framework \\`a la Merton, but also to deal with cases where martingale methods are no longer available. In particular, we address optimal portfolio choice, portfolio liquidation, and portfolio transition problems in a framework \\`a la Almgren-Chriss, and we build therefore a model in which the agent takes into account in his decision process both the liquidity of assets and the uncertainty with respect to their expected return.
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中文摘要：
本文提出了几种风险资产预期收益未知的最优投资组合选择、最优投资组合清算和最优投资组合转移模型。我们的方法基于贝叶斯学习和动态规划技术之间的耦合，从而得到偏微分方程。它可以在“默顿框架”中恢复Karatzas和Zhao的著名结果，但也可以处理鞅方法不再可用的情况。特别是，我们在“a la Almgren Chriss”框架中解决了最优投资组合选择、投资组合清算和投资组合过渡问题，因此我们建立了一个模型，在该模型中，代理人在决策过程中考虑了资产的流动性和其预期回报的不确定性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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