Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter (Q3427520)
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scientific article; zbMATH DE number 5134951
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| English | Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter |
scientific article; zbMATH DE number 5134951 |
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Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter (English)
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20 March 2007
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optimal portfolio
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nonobservable parameters
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Kalman filter
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0.7791298627853394
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0.7642538547515869
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