This paper proposes a filtering methodology for portfolio optimization when some factors of the underlying model are only partially observed. The level of information is given by the observed quantities that are here supposed to be the primary securities and empirical log-price covariations. For...

The paper proposes the use of the growth optimal portfolio for the construction of financial market models with unobserved factors that have to be filtered. This benchmark approach avoids any measure transformation for the pricing of derivatives. The suggested framework allows to measure the...