Bayesian filtering for multi-period mean-variance portfolio selection
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Publication:2241542
DOI10.1007/s42519-021-00175-2zbMath1475.91332arXiv1911.07526OpenAlexW3137398617MaRDI QIDQ2241542
Rituparna Sen, N. S. Upadhye, Shubhangi Sikaria
Publication date: 9 November 2021
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.07526
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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