Mean‐Variance Portfolio Selection under Partial Information
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Publication:5444229
DOI10.1137/050641132zbMath1142.91007MaRDI QIDQ5444229
No author found.
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 filtering; backward stochastic differential equation; partial information; mean-variance portfolio selection; particle system representation particle system representation
93E11: Filtering in stochastic control theory
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G10: Portfolio theory
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