Optimal investment under dynamic risk constraints and partial information (Q4911229)
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scientific article; zbMATH DE number 6144876
Language | Label | Description | Also known as |
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English | Optimal investment under dynamic risk constraints and partial information |
scientific article; zbMATH DE number 6144876 |
Statements
Optimal investment under dynamic risk constraints and partial information (English)
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14 March 2013
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portfolio optimization
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utility maximization
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risk constraints
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limited expected shortfall
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hidden Markov model
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partial information
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