TY - GEN A1 - Höfers, Imke A1 - Wunderlich, Ralf T1 - Portfolio optimization under dynamic risk constraints T2 - arXiv.org Y1 - 2016 UR - http://arxiv.org/pdf/1602.00570v1.pdf ER - TY - GEN A1 - Sass, Jörn A1 - Westphal, Dorothee A1 - Wunderlich, Ralf T1 - Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift T2 - ArXiv.org Y1 - 2016 UR - https://arxiv.org/abs/1601.08155 ER - TY - GEN A1 - Shardin, Anton A1 - Szölgyenyi, Michaela T1 - Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information T2 - International Journal of Theoretical and Applied Finance N2 - In this paper, we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage manager and the energy price process, which is a diffusion process the drift of which is assumed to be unobservable. We apply filtering theory to find an alternative state process which is adapted to our observation filtration. For this alternative state process, we derive the associated Hamilton–Jacobi–Bellman equation and solve the optimization problem numerically. This results in a candidate for the optimal policy for which it is a priori not clear whether the controlled state process exists. Hence, we prove an existence and uniqueness result for a class of time-inhomogeneous stochastic differential equations with discontinuous drift and singular diffusion coefficient. Finally, we apply our result to prove admissibility of the candidate optimal control. KW - Energy storage optimization KW - hidden Markov model KW - stochastic differential equation KW - discontinuous drift KW - degenerate diffusion Y1 - 2016 U6 - https://doi.org/10.1142/S0219024916500266 SN - 0219-0249 SN - 1793-6322 VL - 19 IS - 4 SP - 1650026 ER - TY - THES A1 - Schütze, Stephan T1 - Ein Nutzenmaximierungsproblem mit unvollständiger Information und Expertenmeinungen in einem Finanzmarkt mit Markov-modulierter Drift KW - Diffusionsapproximation KW - Expertenmeinung KW - Partielle Information KW - Portfoliooptimierung Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:co1-opus4-39660 ER -