Portfolio selection under incomplete information

DOI10.1016/j.spa.2005.11.010zbMath1137.91012MaRDI QIDQ2495379

Simon Brendle

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

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Optimal investment under dynamic risk constraints and partial information, PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS, Optimal portfolio policies under bounded expected loss and partial information, Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem, Optimal investment under partial information, On a problem of optimal stochastic control with incomplete information, Optimal consumption and investment under partial information, Optimal investment with inside information and parameter uncertainty, Optimal consumption and investment strategies with partial and private information in a multi-asset setting, Utility-Based Valuation and Hedging of Basis Risk With Partial Information

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