Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain (Q3516084)
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Language | Label | Description | Also known as |
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English | Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain |
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Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain (English)
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1 August 2008
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partial information
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optimal terminal wealth
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CRRA utility
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dynamic programming
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