Filtering and portfolio optimization with stochastic unobserved drift in asset returns (Q2348484): Difference between revisions
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Revision as of 06:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering and portfolio optimization with stochastic unobserved drift in asset returns |
scientific article |
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Filtering and portfolio optimization with stochastic unobserved drift in asset returns (English)
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12 June 2015
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portfolio optimization
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filtering
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Hamilton-Jacobi-Bellman equation
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asymptotic approximations
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