Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain (Q3516084)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5306561
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain |
scientific article; zbMATH DE number 5306561 |
Statements
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain (English)
0 references
1 August 2008
0 references
partial information
0 references
optimal terminal wealth
0 references
CRRA utility
0 references
dynamic programming
0 references
0.890550434589386
0 references
0.8411291837692261
0 references
0.8382908701896667
0 references
0.8378921747207642
0 references
