Portfolio optimization for a large investor under partial information and price impact (Q684140): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00186-017-0589-x
+Normal rank
@@ Property / OpenAlex ID @@
+W2613233453
@@ Property / OpenAlex ID: W2613233453 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with unobservable Markov-modulated drift process
+Normal rank
@@ Property / cites work @@
+Optimal investment under partial information
@@ Property / cites work: Optimal investment under partial information / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Optimal consumption choices for a `large' investor
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Q3663128
@@ Property / cites work: Q3663128 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Control for Partially Observed Diffusions
@@ Property / cites work: Optimal Control for Partially Observed Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
+Normal rank
@@ Property / cites work @@
+Liquidity Models in Continuous and Discrete Time
@@ Property / cites work: Liquidity Models in Continuous and Discrete Time / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160506
@@ Property / cites work: Q3160506 / rank @@
+Normal rank
@@ Property / cites work @@
+Large traders and illiquid options: hedging vs. manipulation
+Normal rank
@@ Property / cites work @@
+Option pricing for a large trader with price impact and liquidity costs
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Q3015770
@@ Property / cites work: Q3015770 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors
+Normal rank
@@ Property / cites work @@
+Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:684140