Portfolio optimization with non-constant volatility and partial information (Q367562)
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 6208429
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio optimization with non-constant volatility and partial information |
scientific article; zbMATH DE number 6208429 |
Statements
Portfolio optimization with non-constant volatility and partial information (English)
0 references
16 September 2013
0 references
hidden Markov model filtering
0 references
Malliavin calculus
0 references
Markov chain Monte Carlo
0 references
stochastic volatility
0 references
utility maximization
0 references
0.8417659997940063
0 references
0.8410294055938721
0 references
