Incorporating signals into optimal trading
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Publication:1739054
DOI10.1007/s00780-019-00382-7zbMath1411.91517arXiv1704.00847OpenAlexW2605897044MaRDI QIDQ1739054
Charles-Albert Lehalle, Eyal Neuman
Publication date: 24 April 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.00847
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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