Portfolio optimization with non-constant volatility and partial information (Q367562): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H07 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number: 6208429 / rank | |||
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hidden Markov model filtering | |||
| Property / zbMATH Keywords: hidden Markov model filtering / rank | |||
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Malliavin calculus | |||
| Property / zbMATH Keywords: Malliavin calculus / rank | |||
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Markov chain Monte Carlo | |||
| Property / zbMATH Keywords: Markov chain Monte Carlo / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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utility maximization | |||
| Property / zbMATH Keywords: utility maximization / rank | |||
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Revision as of 12:01, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with non-constant volatility and partial information |
scientific article |
Statements
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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