Anticipative portfolio optimization (Q4332212)
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scientific article; zbMATH DE number 977984
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Anticipative portfolio optimization |
scientific article; zbMATH DE number 977984 |
Statements
Anticipative portfolio optimization (English)
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13 February 1997
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relative entropy
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stochastic control problem
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financial economics
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Brownian motion
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enlargement of filtrations
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optimal portfolio
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