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Portfolio optimization with unobservable Markov-modulated drift process

https://doi.org/10.1239/jap/1118777176
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Optimum consumption and portfolio rules in a continuous-time model
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Optimal terminal wealth under partial information for HMM stock returns
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CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS
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Numerical solution of stochastic differential equations

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

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