PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION
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Publication:2976133
DOI10.1142/S0219024917500169zbMath1360.91131arXiv1510.03596MaRDI QIDQ2976133
Grégoire Loeper, Sofiene El Aoud, Ahmed Bel Hadj Ayed, Frederic Abergel
Publication date: 13 April 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.03596
Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Portfolio theory (91G10)
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- Optimal investment under partial information
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimal trading strategy for an investor: the case of partial information
- Portfolio selection under incomplete information
- Introduction to Time Series and Forecasting
- Forecasting trends with asset prices
- Portfolio optimization with unobservable Markov-modulated drift process
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