Dimension reduction in discrete time portfolio optimization with partial information
DOI10.1137/120897596zbMATH Open1278.93292OpenAlexW3121284615MaRDI QIDQ2873154FDOQ2873154
Authors: Andrew Papanicolaou 
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/120897596
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dimension reductionfilteringpartial informationportfolio optimizationapproximate dynamic programmingfast mean reversion
Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) System structure simplification (93B11) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)
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