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This paper explores optimal portfolio strategies in a market influenced by an unobserved Markov chain, utilizing expert opinions as additional information. It employs stochastic filtering to reformulate the problem into one of full information, applying dynamic programming techniques to derive classical solutions to the dynamic programming equation. The authors demonstrate that the optimal strategy in the regularized model is nearly optimal in the original model, addressing challenges related to the existen

Author

Aymane el hassnaoui

Language

EN