OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS (Q3523599): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / cites work | |||
| Property / cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimization Problems in the Theory of Continuous Trading / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Utility maximization with partial information / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimal trading strategy for an investor: the case of partial information / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A generalized clark representation formula, with application to optimal portfolios / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1142/s0219024901001231 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1984726219 / rank | |||
Normal rank | |||
Latest revision as of 10:22, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS |
scientific article |
Statements
OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS (English)
0 references
3 September 2008
0 references
utility function
0 references
security price and its filtration
0 references
partial and full information
0 references
filter
0 references
trading strategy
0 references
Clark's formula
0 references
value of information
0 references
0 references
