Optimal investment with a noisy signal of future stock prices (Q6190919)

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scientific article; zbMATH DE number 7801985
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English
Optimal investment with a noisy signal of future stock prices
scientific article; zbMATH DE number 7801985

    Statements

    title
    Optimal investment with a noisy signal of future stock prices (English)
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    author
    Peter Bank
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    Yan Dolinsky
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    publication date
    8 February 2024
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    zbMATH Keywords
    optimal control with partial observation
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    exponential utility maximization
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    noisy price signals
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    duality
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    temporary price impact
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    Identifiers

    arXiv ID
    2302.10485
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    zbMATH DE Number
    7801985
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    OpenAlex ID
    W4391062526
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    Wikidata QID
    Q129640403
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