  We introduce a generic solver for dynamic portfolio allocation problems when
the market exhibits return predictability, price impact and partial
observability. We assume that the price modeling can be encoded into a linear
state-space and we demonstrate how the problem then falls into the LQG
framework. We derive the optimal control policy and introduce analytical tools
that preserve the intelligibility of the solution. Furthermore, we link the
existence and uniqueness of the optimal controller to a dynamical non-arbitrage
criterion. Finally, we illustrate our method using a synthetic portfolio
allocation problem.
