Asymptotics of the probability of minimizing ‘down-side’ risk under partial information
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Publication:3005367
DOI10.1080/14697680903341814zbMath1213.91143OpenAlexW2017075378MaRDI QIDQ3005367
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903341814
dynamic programmingstochastic controlKalman filtersportfolio managementstochastic analysisdownside riskmulti-factor modelsmathematics of finance
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (5)
Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Downside risk minimization via a large deviations approach ⋮ Long-term optimal portfolios with floor ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ An optimal consumption and investment problem with partial information
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