Optimal portfolio policies under bounded expected loss and partial information
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Publication:5962146
DOI10.1007/s00186-010-0300-yzbMath1209.91151MaRDI QIDQ5962146
Publication date: 21 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-010-0300-y
filtering; portfolio optimization; utility maximization; expected shortfall; risk constraint; tracking error
93E11: Filtering in stochastic control theory
91G80: Financial applications of other theories
91G10: Portfolio theory
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