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Latest revision as of 08:25, 6 July 2024

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Expected power-utility maximization under incomplete information and with Cox-process observations
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    Expected power-utility maximization under incomplete information and with Cox-process observations (English)
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    15 April 2013
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    portfolio optimization
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    stochastic control
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    incomplete information
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    regime-switching models
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    Cox-process observations
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    random trading times
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    unobserved Markovian factor process
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    expected terminal power utility
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