Portfolio optimization for a large investor under partial information and price impact (Q684140)
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scientific article; zbMATH DE number 6836896
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| English | Portfolio optimization for a large investor under partial information and price impact |
scientific article; zbMATH DE number 6836896 |
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Portfolio optimization for a large investor under partial information and price impact (English)
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9 February 2018
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portfolio optimization
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Markov-modulation
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stochastic control
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partial information
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large investor
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price impact
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filtering
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0.894169807434082
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0.808344304561615
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0.8078452348709106
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0.8043075799942017
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0.80292147397995
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