Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (Q2358467)
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scientific article; zbMATH DE number 6731274
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| English | Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model |
scientific article; zbMATH DE number 6731274 |
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Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (English)
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15 June 2017
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consumption-portfolio optimization
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hidden Markov chain
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model uncertainty
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innovations approach
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filtering
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stochastic maximum principle
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0.8169050216674805
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0.804459273815155
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0.8011939525604248
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0.7985211610794067
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