Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift (Q5281724)
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scientific article; zbMATH DE number 6752343
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| English | Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift |
scientific article; zbMATH DE number 6752343 |
Statements
EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT (English)
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26 July 2017
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conditional covariance matrix
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Ornstein-Uhlenbeck process
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partial information
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portfolio optimization
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unbiased expert opinions
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0.8363427519798279
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0.8292598724365234
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0.8172788023948669
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0.8168747425079346
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