摘要翻译：
本文研究了无观测马尔可夫链驱动的市场中的最优投资组合策略。关于这个链条状态的信息是从随机离散时间点上以信号形式的股票价格和专家意见中获得的。如弗雷等人。(2012)，INT。J.Theor。阿普尔。Financial,15,1,我们利用随机滤波将原问题转化为一个状态变量为马尔可夫链滤波器的全信息下的优化问题。利用粘性解技术和正则化参数研究了该问题的动态规划方程。
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英文标题：
《Portfolio Optimization under Partial Information with Expert Opinions: a
  Dynamic Programming Approach》
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作者：
R\"udiger Frey, Abdelali Gabih, Ralf Wunderlich
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最新提交年份：
2014
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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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英文摘要：
  This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem into an optimization problem under full information where the state variable is the filter for the Markov chain. The dynamic programming equation for this problem is studied with viscosity-solution techniques and with regularization arguments.
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PDF链接：
https://arxiv.org/pdf/1303.2513