Portfolio optimization with non-constant volatility and partial information (Q367562): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 00:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with non-constant volatility and partial information |
scientific article |
Statements
Portfolio optimization with non-constant volatility and partial information (English)
0 references
16 September 2013
0 references
hidden Markov model filtering
0 references
Malliavin calculus
0 references
Markov chain Monte Carlo
0 references
stochastic volatility
0 references
utility maximization
0 references
