Portfolio optimization with unobservable Markov-modulated drift process (Q5697589): Difference between revisions
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Revision as of 23:54, 5 March 2024
scientific article; zbMATH DE number 2215298
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with unobservable Markov-modulated drift process |
scientific article; zbMATH DE number 2215298 |
Statements
Portfolio optimization with unobservable Markov-modulated drift process (English)
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18 October 2005
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ortfolio optimization
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Markov-modulated drift
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Hamilton-Jacobi-Bellman equation
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optimal investment strategy
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Bayesian control
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stochastic ordering
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