Portfolio optimization with non-constant volatility and partial information (Q367562): Difference between revisions
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Revision as of 02:59, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with non-constant volatility and partial information |
scientific article |
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Portfolio optimization with non-constant volatility and partial information (English)
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16 September 2013
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hidden Markov model filtering
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Malliavin calculus
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Markov chain Monte Carlo
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stochastic volatility
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utility maximization
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