Mean‐Variance Portfolio Selection under Partial Information
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Publication:5444229
DOI10.1137/050641132zbMath1142.91007OpenAlexW2070807633MaRDI QIDQ5444229
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Publication date: 25 February 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/050641132
nonlinear filteringbackward stochastic differential equationpartial informationmean-variance portfolio selectionparticle system representation particle system representation
Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)
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