Expected power-utility maximization under incomplete information and with Cox-process observations (Q1946535)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected power-utility maximization under incomplete information and with Cox-process observations |
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Expected power-utility maximization under incomplete information and with Cox-process observations (English)
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15 April 2013
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portfolio optimization
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stochastic control
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incomplete information
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regime-switching models
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Cox-process observations
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random trading times
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unobserved Markovian factor process
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expected terminal power utility
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