Expected log-utility maximization under incomplete information and with Cox-process observations (Q2254308): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10690-013-9176-1 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2031711710 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential stability for nonlinear filtering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov decision processes with applications to finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment under partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Point processes and queues. Martingale dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: A filtering approach to tracking volatility from prices observed at random times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio optimization in discontinuous markets under incomplete information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4323296 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expected power-utility maximization under incomplete information and with Cox-process observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Investment/Consumption Problem in Illiquid Markets with Regime-Switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A complete explicit solution to the log-optimal portfolio problem. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Aspects of risk theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Decay of correlations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio of low liquid assets with a log-utility function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5486569 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3015770 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A benchmark approach to portfolio optimization under partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES / rank
 
Normal rank
Property / cites work
 
Property / cites work: A coupled system of integrodifferential equations arising in liquidity risk model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4550917 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain / rank
 
Normal rank

Latest revision as of 16:29, 9 July 2024

scientific article
Language Label Description Also known as
English
Expected log-utility maximization under incomplete information and with Cox-process observations
scientific article

    Statements

    Expected log-utility maximization under incomplete information and with Cox-process observations (English)
    0 references
    0 references
    0 references
    4 February 2015
    0 references
    0 references
    portfolio optimization
    0 references
    stochastic control
    0 references
    incomplete information
    0 references
    regime-switching models
    0 references
    Cox-process observations
    0 references
    random trading times
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references