Filtering and portfolio optimization with stochastic unobserved drift in asset returns (Q2348484)
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scientific article; zbMATH DE number 6445477
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| English | Filtering and portfolio optimization with stochastic unobserved drift in asset returns |
scientific article; zbMATH DE number 6445477 |
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Filtering and portfolio optimization with stochastic unobserved drift in asset returns (English)
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12 June 2015
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portfolio optimization
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filtering
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Hamilton-Jacobi-Bellman equation
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asymptotic approximations
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0.8148848414421082
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0.7979850769042969
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0.7975198030471802
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0.7936469912528992
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