Mean‐Variance Portfolio Selection under Partial Information

DOI10.1137/050641132zbMath1142.91007OpenAlexW2070807633MaRDI QIDQ5444229

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Publication date: 25 February 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050641132

zbMATH Keywords

nonlinear filteringbackward stochastic differential equationpartial informationmean-variance portfolio selectionparticle system representation particle system representation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)

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