Optimal trading strategy under disordered asset return and Knightian uncertainty

MaRDI QIDQ2860190zbMATH OpenFDO

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)

zbMATH Keywords

martingaleambiguitypartial informationambiguity attitudedisorder problemtrading strategy

Mathematics Subject Classification ID

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

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