Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results
zbMATH Open1378.91006MaRDI QIDQ4601034FDOQ4601034
Publication date: 18 January 2018
Full work available at URL: http://d-nb.info/1137206500/34
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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)
Cited In (6)
- Optimal portfolio, partial information and Malliavin calculus
- Utility maximization with convex constraints and partial information
- Generalization bounds for regularized portfolio selection with market side information
- Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
- Title not available (Why is that?)
- Dimension reduction in discrete time portfolio optimization with partial information
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