Portfolio optimization in discontinuous markets under incomplete information (Q2461283): Difference between revisions

@@ Property / author @@
+Giovanni B. Di Masi
@@ Property / author: Giovanni B. Di Masi / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-007-9050-0
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@@ Property / OpenAlex ID @@
+W2088189605
@@ Property / OpenAlex ID: W2088189605 / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Q3136505
@@ Property / cites work: Q3136505 / rank @@
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
+Normal rank
@@ Property / cites work @@
+Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
+Normal rank
@@ Property / cites work @@
+Q5566063
@@ Property / cites work: Q5566063 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
+Normal rank
@@ Property / cites work @@
+Q3509355
@@ Property / cites work: Q3509355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3511646
@@ Property / cites work: Q3511646 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4657108
@@ Property / cites work: Q4657108 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment in incomplete markets when wealth may become negative.
+Normal rank