Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results
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Publication:4601034
Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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Cited in
(6)- scientific article; zbMATH DE number 5919882 (Why is no real title available?)
- Utility maximization with convex constraints and partial information
- Generalization bounds for regularized portfolio selection with market side information
- Dimension reduction in discrete time portfolio optimization with partial information
- Optimal portfolio, partial information and Malliavin calculus
- Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
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