Asymptotics of the probability of minimizing ``down-side'' risk under partial information (Q3005367)
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scientific article; zbMATH DE number 5904941
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| English | Asymptotics of the probability of minimizing ``down-side'' risk under partial information |
scientific article; zbMATH DE number 5904941 |
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Asymptotics of the probability of minimizing ‘down-side’ risk under partial information (English)
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7 June 2011
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multi-factor models
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stochastic analysis
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stochastic control
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downside risk
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portfolio management
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dynamic programming
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mathematics of finance
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Kalman filters
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0.903859794139862
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0.8910731077194214
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0.8679664134979248
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0.8185952305793762
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