{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,20]],"date-time":"2026-02-20T21:41:53Z","timestamp":1771623713258,"version":"3.50.1"},"reference-count":23,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2017,5,10]],"date-time":"2017-05-10T00:00:00Z","timestamp":1494374400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100000038","name":"Natural Sciences and Engineering Research Council of Canada","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000038","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000266","name":"Engineering and Physical Sciences Research Council","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000266","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Math Meth Oper Res"],"published-print":{"date-parts":[[2017,12]]},"DOI":"10.1007\/s00186-017-0589-x","type":"journal-article","created":{"date-parts":[[2017,5,10]],"date-time":"2017-05-10T07:53:22Z","timestamp":1494402802000},"page":"601-623","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["Portfolio optimization for a large investor under partial information and price impact"],"prefix":"10.1007","volume":"86","author":[{"given":"Zehra","family":"Eksi","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0107-6974","authenticated-orcid":false,"given":"Hyejin","family":"Ku","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2017,5,10]]},"reference":[{"key":"589_CR1","doi-asserted-by":"crossref","first-page":"5","DOI":"10.21314\/JOR.2001.041","volume":"3","author":"R Almgren","year":"2001","unstructured":"Almgren R, Chriss N (2001) Optimal execution of portfolio transactions. J Risk 3:5\u201340","journal-title":"J Risk"},{"issue":"3","key":"589_CR2","doi-asserted-by":"crossref","first-page":"442","DOI":"10.1109\/TAC.2004.824471","volume":"49","author":"N B\u00e4uerle","year":"2004","unstructured":"B\u00e4uerle N, Rieder U (2004) Portfolio optimization with markov-modulated stock prices and interest rates. IEEE Trans Autom Control 49(3):442\u2013447","journal-title":"IEEE Trans Autom Control"},{"key":"589_CR3","doi-asserted-by":"crossref","first-page":"362","DOI":"10.1017\/S0021900200000401","volume":"42","author":"N B\u00e4uerle","year":"2005","unstructured":"B\u00e4uerle N, Rieder U (2005) Portfolio optimization with unobservable markov-modulated drift process. J Appl Probab 42:362\u2013378","journal-title":"J Appl Probab"},{"issue":"2","key":"589_CR4","doi-asserted-by":"crossref","first-page":"371","DOI":"10.1007\/s00186-010-0301-x","volume":"71","author":"T Bj\u00f6rk","year":"2010","unstructured":"Bj\u00f6rk T, Davis MHA, Land\u00e9n C (2010) Optimal investment under partial information. Math Methods Oper Res 71(2):371\u2013399","journal-title":"Math Methods Oper Res"},{"issue":"4","key":"589_CR5","doi-asserted-by":"crossref","first-page":"687","DOI":"10.1111\/j.1467-9965.2012.00528.x","volume":"23","author":"M Busch","year":"2013","unstructured":"Busch M, Korn R, Seifried FT (2013) Optimal consumption and investment for a large investor: an intensity-based control framework. Math Financ 23(4):687\u2013717","journal-title":"Math Financ"},{"issue":"3","key":"589_CR6","doi-asserted-by":"crossref","first-page":"401","DOI":"10.1016\/S0165-1889(97)00065-1","volume":"22","author":"D Cuoco","year":"1998","unstructured":"Cuoco D, Cvitani\u0107 J (1998) Optimal consumption choices for a largeinvestor. J Econ Dyn Control 22(3):401\u2013436","journal-title":"J Econ Dyn Control"},{"issue":"2","key":"589_CR7","doi-asserted-by":"crossref","first-page":"370","DOI":"10.1214\/aoap\/1034968136","volume":"6","author":"J Cvitani\u0107","year":"1996","unstructured":"Cvitani\u0107 J, Ma J et al (1996) Hedging options for a large investor and forward-backward sde\u2019s. Ann Appl Prob 6(2):370\u2013398","journal-title":"Ann Appl Prob"},{"key":"589_CR8","first-page":"168","volume-title":"Stochastic Differential Systems","author":"J Elliott Robert","year":"1982","unstructured":"Elliott Robert J (1982) The non-linear filtering equations. In: Kohlmann M, Christopeit N (eds) Stochastic Differential Systems. Springer, Berlin, pp 168\u2013178"},{"key":"589_CR9","volume-title":"Hidden Markov models","author":"RJ Elliott","year":"1994","unstructured":"Elliott RJ, Aggoun L, Moore JB (1994) Hidden Markov models. Springer, Berlin"},{"issue":"2","key":"589_CR10","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1137\/0320021","volume":"20","author":"WH Fleming","year":"1982","unstructured":"Fleming WH, Pardoux \u00c9 (1982) Optimal control for partially observed diffusions. SIAM J Control Optim 20(2):261\u2013285","journal-title":"SIAM J Control Optim"},{"key":"589_CR11","unstructured":"Frey R\u00fcdiger, Gabih A, Wunderlich R (2012) Portfolio optimization under partial information with expert opinions. Int J Theor Appl Financ 15(01):1\u201318"},{"key":"589_CR12","volume-title":"Partial differential equations of parabolic type","author":"A Friedman","year":"1983","unstructured":"Friedman A (1983) Partial differential equations of parabolic type. Krieger Pub Co., Malabar"},{"key":"589_CR13","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1017\/CBO9781139151184.030","volume-title":"Handbook on systemic risk","author":"J Gatheral","year":"2013","unstructured":"Gatheral J, Schied A (2013) Dynamical models of market impact and algorithms for order execution. In: Fouque J-P, Langsam JA (eds) Handbook on systemic risk. Cambridge University Press, New York, pp 579\u2013599"},{"key":"589_CR14","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1007\/978-3-642-18412-3_13","volume-title":"Advanced mathematical methods for finance","author":"S G\u00f6kay","year":"2011","unstructured":"G\u00f6kay S, Roch AF, Soner HM (2011) Liquidity models in continuous and discrete time. In: Di Nunno G, Oksendal B (eds) Advanced mathematical methods for finance. Springer, Berlin, pp 333\u2013365"},{"key":"589_CR15","doi-asserted-by":"crossref","unstructured":"Haussmann Ulrich G, Sass J (2004) Optimal terminal wealth under partial information. In: Mathematics of finance: proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22\u201326, 2003, Snowbird, Utah, vol 351, p 171. American Mathematical Soc","DOI":"10.1090\/conm\/351\/06401"},{"issue":"11","key":"589_CR16","doi-asserted-by":"crossref","first-page":"1898","DOI":"10.1016\/j.jedc.2011.06.001","volume":"35","author":"H Kraft","year":"2011","unstructured":"Kraft H, K\u00fchn C (2011) Large traders and illiquid options: hedging vs. manipulation. J Econ Dyn Control 35(11):1898\u20131915","journal-title":"J Econ Dyn Control"},{"key":"589_CR17","unstructured":"Ku H, Zhang H (2016) Option pricing for a large trader with price impact and liquidity costs. York University (Manuscript)"},{"key":"589_CR18","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-540-89500-8","volume-title":"Continuous-time stochastic control and optimization with financial applications","author":"H Pham","year":"2009","unstructured":"Pham H (2009) Continuous-time stochastic control and optimization with financial applications, vol 61. Springer Science & Business Media, Berlin"},{"key":"589_CR19","unstructured":"Pham H (2011) Portfolio optimization under partial observation: theoretical and numerical aspects. In: Crisan D, Rozovskii B (eds) The Oxford handbook on nonlinear filtering. Oxford University Press, pp 990\u20131018"},{"issue":"4","key":"589_CR20","doi-asserted-by":"crossref","first-page":"553","DOI":"10.1007\/s00780-004-0132-9","volume":"8","author":"J Sass","year":"2004","unstructured":"Sass J, Haussmann Ulrich G (2004) Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Financ Stoch 8(4):553\u2013577","journal-title":"Financ Stoch"},{"issue":"3","key":"589_CR21","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1109\/TAC.2004.824476","volume":"49","author":"L Stettner","year":"2004","unstructured":"Stettner L (2004) Risk-sensitive portfolio optimization with completely and partially observed factors. IEEE Trans Autom Control 49(3):457\u2013464","journal-title":"IEEE Trans Autom Control"},{"issue":"3","key":"589_CR22","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1137\/0302028","volume":"2","author":"WM Wonham","year":"1964","unstructured":"Wonham WM (1964) Some applications of stochastic differential equations to optimal nonlinear filtering. J Soc Ind Appl Math Ser A Control 2(3):347\u2013369","journal-title":"J Soc Ind Appl Math Ser A Control"},{"issue":"1","key":"589_CR23","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1007\/PL00000040","volume":"5","author":"T Zariphopoulou","year":"2001","unstructured":"Zariphopoulou T (2001) A solution approach to valuation with unhedgeable risks. Financ Stoch 5(1):61\u201382","journal-title":"Financ Stoch"}],"container-title":["Mathematical Methods of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00186-017-0589-x\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-017-0589-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-017-0589-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,9,24]],"date-time":"2019-09-24T02:13:00Z","timestamp":1569291180000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00186-017-0589-x"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,5,10]]},"references-count":23,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2017,12]]}},"alternative-id":["589"],"URL":"https:\/\/doi.org\/10.1007\/s00186-017-0589-x","relation":{},"ISSN":["1432-2994","1432-5217"],"issn-type":[{"value":"1432-2994","type":"print"},{"value":"1432-5217","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,5,10]]}}}