A benchmark approach to portfolio optimization under partial information
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Cites work
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Cited in
(27)- Diffusion-based models for financial markets without martingale measures
- On European option pricing under partial information.
- Pricing of claims in discrete time with partial information
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- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- A one-factor conditionally linear commodity pricing model under partial information
- Expected log-utility maximization under incomplete information and with Cox-process observations
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- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
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