{"id":"https://openalex.org/W2626309039","doi":"https://doi.org/10.1137/17m1134317","title":"Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information","display_name":"Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2626309039","doi":"https://doi.org/10.1137/17m1134317","mag":"2626309039"},"language":"en","primary_location":{"id":"doi:10.1137/17m1134317","is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1134317","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5006688766","display_name":"S\u00fchan Altay","orcid":"https://orcid.org/0000-0001-7226-1136"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]},{"id":"https://openalex.org/I145847075","display_name":"TU Wien","ror":"https://ror.org/04d836q62","country_code":"AT","type":"education","lineage":["https://openalex.org/I145847075"]},{"id":"https://openalex.org/I27483092","display_name":"University of Perugia","ror":"https://ror.org/00x27da85","country_code":"IT","type":"education","lineage":["https://openalex.org/I27483092"]},{"id":"https://openalex.org/I4210163778","display_name":"Istituto Nazionale di Fisica Nucleare, Sezione di Perugia","ror":"https://ror.org/05478fx36","country_code":"IT","type":"facility","lineage":["https://openalex.org/I160013858","https://openalex.org/I4210163778"]}],"countries":["AT","IT"],"is_corresponding":false,"raw_author_name":"S\u00fchan Altay","raw_affiliation_strings":["Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","institution_ids":["https://openalex.org/I27483092","https://openalex.org/I4210163778"]},{"raw_affiliation_string":"Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","institution_ids":["https://openalex.org/I145847075"]},{"raw_affiliation_string":"Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074707266","display_name":"Katia Colaneri","orcid":"https://orcid.org/0000-0003-3933-3788"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]},{"id":"https://openalex.org/I145847075","display_name":"TU Wien","ror":"https://ror.org/04d836q62","country_code":"AT","type":"education","lineage":["https://openalex.org/I145847075"]},{"id":"https://openalex.org/I27483092","display_name":"University of Perugia","ror":"https://ror.org/00x27da85","country_code":"IT","type":"education","lineage":["https://openalex.org/I27483092"]},{"id":"https://openalex.org/I4210163778","display_name":"Istituto Nazionale di Fisica Nucleare, Sezione di Perugia","ror":"https://ror.org/05478fx36","country_code":"IT","type":"facility","lineage":["https://openalex.org/I160013858","https://openalex.org/I4210163778"]}],"countries":["AT","IT"],"is_corresponding":false,"raw_author_name":"Katia Colaneri","raw_affiliation_strings":["Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","institution_ids":["https://openalex.org/I27483092","https://openalex.org/I4210163778"]},{"raw_affiliation_string":"Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","institution_ids":["https://openalex.org/I145847075"]},{"raw_affiliation_string":"Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088396105","display_name":"Zehra Eksi","orcid":"https://orcid.org/0000-0002-1848-8935"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]},{"id":"https://openalex.org/I145847075","display_name":"TU Wien","ror":"https://ror.org/04d836q62","country_code":"AT","type":"education","lineage":["https://openalex.org/I145847075"]},{"id":"https://openalex.org/I27483092","display_name":"University of Perugia","ror":"https://ror.org/00x27da85","country_code":"IT","type":"education","lineage":["https://openalex.org/I27483092"]},{"id":"https://openalex.org/I4210163778","display_name":"Istituto Nazionale di Fisica Nucleare, Sezione di Perugia","ror":"https://ror.org/05478fx36","country_code":"IT","type":"facility","lineage":["https://openalex.org/I160013858","https://openalex.org/I4210163778"]}],"countries":["AT","IT"],"is_corresponding":false,"raw_author_name":"Zehra Eksi","raw_affiliation_strings":["Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Perugia, Via Alessandro Pascoli, 20, I-06123 Perugia, Italy","institution_ids":["https://openalex.org/I27483092","https://openalex.org/I4210163778"]},{"raw_affiliation_string":"Department of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, 1040 Vienna, Austria","institution_ids":["https://openalex.org/I145847075"]},{"raw_affiliation_string":"Institute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, 1020, Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.7966,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.73305103,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"10","issue":"2","first_page":"512","last_page":"546"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9718000292778015,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9702000021934509,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/unobservable","display_name":"Unobservable","score":0.8641908168792725},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5793211460113525},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5435263514518738},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.49161869287490845},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4831956923007965},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4750354588031769},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.47037094831466675},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.457319438457489},{"id":"https://openalex.org/keywords/complete-information","display_name":"Complete information","score":0.4557390809059143},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4490608870983124},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.4392920732498169},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4269281327724457},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4179896116256714},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.33638811111450195},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3328065872192383},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.16307112574577332}],"concepts":[{"id":"https://openalex.org/C2780695315","wikidata":"https://www.wikidata.org/wiki/Q3799040","display_name":"Unobservable","level":2,"score":0.8641908168792725},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5793211460113525},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5435263514518738},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.49161869287490845},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4831956923007965},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4750354588031769},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.47037094831466675},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.457319438457489},{"id":"https://openalex.org/C113336015","wikidata":"https://www.wikidata.org/wiki/Q574010","display_name":"Complete information","level":2,"score":0.4557390809059143},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4490608870983124},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.4392920732498169},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4269281327724457},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4179896116256714},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.33638811111450195},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3328065872192383},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.16307112574577332},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/17m1134317","is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1134317","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/0fd652d1-b5d3-45d8-934e-9f05bd3a81db","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/0fd652d1-b5d3-45d8-934e-9f05bd3a81db","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Altay, S, Eksi-Altay, Z & Colaneri, K 2019, 'Portfolio optimization for a large investor controlling market sentiment under partial information', SIAM Journal on Financial Mathematics, vol. 10, no. 2, pp. 512 - 546. https://doi.org/10.1137/17M1134317","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:art.torvergata.it:2108/218975","is_oa":false,"landing_page_url":"https://epubs.siam.org/doi/10.1137/17M1134317","pdf_url":null,"source":{"id":"https://openalex.org/S4306400993","display_name":"Cineca Institutional Research Information System (Tor Vergata University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I116067653","host_organization_name":"University of Rome Tor Vergata","host_organization_lineage":["https://openalex.org/I116067653"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6426230638","display_name":"Dependence Modeling for Credit Spreads and Interest Rate Term Structures","funder_award_id":"P25216","funder_id":"https://openalex.org/F4320321181","funder_display_name":"Austrian Science Fund"}],"funders":[{"id":"https://openalex.org/F4320321181","display_name":"Austrian Science Fund","ror":"https://ror.org/013tf3c58"},{"id":"https://openalex.org/F4320326523","display_name":"Universit\u00e0 degli Studi di Perugia","ror":"https://ror.org/00x27da85"},{"id":"https://openalex.org/F4320326625","display_name":"Yukawa Institute for Theoretical Physics, Kyoto University","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W91439453","https://openalex.org/W1542274658","https://openalex.org/W1575744783","https://openalex.org/W1966871367","https://openalex.org/W1975507670","https://openalex.org/W1983973130","https://openalex.org/W1985873975","https://openalex.org/W1988270113","https://openalex.org/W1988916339","https://openalex.org/W1996175061","https://openalex.org/W2006155412","https://openalex.org/W2014282155","https://openalex.org/W2015692920","https://openalex.org/W2030354114","https://openalex.org/W2059402723","https://openalex.org/W2074795695","https://openalex.org/W2076231812","https://openalex.org/W2095693698","https://openalex.org/W2097206578","https://openalex.org/W2100899667","https://openalex.org/W2121011365","https://openalex.org/W2121909976","https://openalex.org/W2138297771","https://openalex.org/W2142278738","https://openalex.org/W2156992384","https://openalex.org/W2158161997","https://openalex.org/W2165463982","https://openalex.org/W2253832899","https://openalex.org/W2613233453","https://openalex.org/W3124680661"],"related_works":["https://openalex.org/W205202192","https://openalex.org/W2027895939","https://openalex.org/W2943897807","https://openalex.org/W3120484221","https://openalex.org/W4366198066","https://openalex.org/W3047748938","https://openalex.org/W2358522863","https://openalex.org/W4386034604","https://openalex.org/W278441094","https://openalex.org/W3099285423"],"abstract_inverted_index":{"We":[0,17,44],"study":[1],"a":[2,19,23,29,114],"portfolio":[3,133],"optimization":[4],"problem":[5,74],"for":[6,86,98],"an":[7,12,33,37,61,111,122],"investor":[8,50],"whose":[9],"actions":[10],"have":[11],"indirect":[13,62],"impact":[14,63],"on":[15,64],"prices.":[16],"consider":[18],"market":[20],"model":[21],"with":[22,32,75,80,113],"risky":[24],"asset":[25],"price":[26,66],"process":[27,57,118],"following":[28],"pure-jump":[30],"dynamics":[31],"intensity":[34,128],"modulated":[35],"by":[36],"unobservable":[38],"continuous-time":[39],"finite-state":[40],"Markov":[41,101,116],"regime-switching":[42,56,117],"process.":[43,67],"assume":[45],"that":[46],"decisions":[47],"of":[48,54,129],"the":[49,52,55,65,105,127,138],"affect":[51],"generator":[53],"which":[58],"results":[59],"in":[60],"Using":[68],"filtering":[69],"theory,":[70],"we":[71,94,109],"reduce":[72],"this":[73],"partial":[76,144],"information":[77,82],"to":[78,103,125],"one":[79],"full":[81,142],"and":[83,88,119,143],"solve":[84],"it":[85,130],"logarithmic":[87],"power":[89],"utility":[90],"preferences.":[91],"In":[92],"particular,":[93],"apply":[95],"control":[96,126],"theory":[97],"piecewise":[99],"deterministic":[100],"processes":[102],"derive":[104],"optimality":[106],"equation.":[107],"Finally,":[108],"provide":[110],"example":[112],"two-state":[115],"discuss":[120],"how":[121],"investor's":[123],"ability":[124],"affects":[131],"optimal":[132,139],"strategies":[134],"as":[135,137],"well":[136],"wealth":[140],"under":[141],"information.":[145]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1}],"updated_date":"2026-08-26T07:47:46.906454","created_date":"2025-10-10T00:00:00"}