Optimal investment under dynamic risk constraints and partial information (Q4911229)
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scientific article; zbMATH DE number 6144876
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment under dynamic risk constraints and partial information |
scientific article; zbMATH DE number 6144876 |
Statements
Optimal investment under dynamic risk constraints and partial information (English)
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14 March 2013
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portfolio optimization
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utility maximization
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risk constraints
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limited expected shortfall
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hidden Markov model
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partial information
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0.96029264
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0.9398378
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0.9292108
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0.9285723
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0.92549735
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0.9236766
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0.91973984
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