PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
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Publication:5389106
DOI10.1142/S0219024911006486zbMath1236.91126OpenAlexW2138332759MaRDI QIDQ5389106
Abdelali Gabih, Ralf Wunderlich, Rüdiger Frey
Publication date: 24 April 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006486
Cites Work
- Optimal investment under partial information
- Comparison and robustification of Bayes and Black-Litterman models
- Measure change estimates for hidden Markov models
- Optimal trading strategy for an investor: the case of partial information
- Optimal investment with inside information and parameter uncertainty
- Controlled Markov processes and viscosity solutions
- Portfolio selection under incomplete information
- An ε-Optimal Portfolio with Stochastic Volatility
- Optimal portfolio policies under bounded expected loss and partial information
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