Optimal trading strategy under disordered asset return and Knightian uncertainty

zbMATH Open1289.91156MaRDI QIDQ2860190FDOQ2860190

Authors: Weiyin Fei, Xueqin Shi, Li Yu, Juan Li 

Publication date: 19 November 2013

Published in: Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)

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zbMATH Keywords

martingaleambiguitypartial informationambiguity attitudedisorder problemtrading strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (3)

• Optimal trading strategy under disordered asset return and partial information
• An optimal trading strategy under Knightian uncertainty and partial information
• Equilibrium strategies for alpha-maxmin expected utility maximization

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