A benchmark approach to filtering in finance

DOI10.1007/S10690-005-4301-4zbMATH Open1075.91023OpenAlexW2094174937MaRDI QIDQ2575441FDOQ2575441

Wolfgang J. Runggaldier, Eckhard Platen

Publication date: 9 December 2005

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5230

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic processes (60G99)

Cites Work

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Cited In (8)

• A benchmark approach to quantitative finance
• On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• Title not available (Why is that?)
• Risk‐sensitive benchmarked asset management with expert forecasts
• A benchmark approach to portfolio optimization under partial information
• Risk minimization with incomplete information in a model for high-frequency data
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

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