Portfolio selection under incomplete information
From MaRDI portal
Publication:2495379
DOI10.1016/j.spa.2005.11.010zbMath1137.91012OpenAlexW2084543644MaRDI QIDQ2495379
Publication date: 30 June 2006
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.11.010
Inference from stochastic processes and prediction (62M20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Cites Work
- Estimation and control for linear, partially observable systems with non- Gaussian initial distribution
- Optimal trading strategy for an investor: the case of partial information
- Utility maximization with partial information
- A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization
- Contrôle stochastique avec informations partielles et applications à la Finance
- The Role of Learning in Dynamic Portfolio Decisions *
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