Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information (Q2873154)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information |
scientific article |
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Dimension Reduction in Discrete Time Portfolio Optimization with Partial Information (English)
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23 January 2014
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filtering
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fast mean reversion
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partial information
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portfolio optimization
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approximate dynamic programming
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dimension reduction
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